File(s) under permanent embargo

How profitable is the Indian stock market?

journal contribution
posted on 01.11.2014, 00:00 authored by Paresh Narayan, H A Ahmed, Susan SharmaSusan Sharma, Prabheesh KP
In this paper, using a range of technical trading and momentum trading strategies, we show that the Indian stock market is profitable. We find robust evidence that investing in some sectors is relatively more profitable than investing in others. We show that sectoral heterogeneity with respect to profitability is a result of the gradual diffusion of information from the market to the sectors. Specifically, we show that while the market predicts returns of sectors, the magnitude of predictability varies with sectors. Our results are robust to a range of trading strategies. © 2014 Elsevier B.V.

History

Journal

Pacific-Basin finance journal

Volume

30

Pagination

44 - 61

Publisher

Elsevier BV

Location

Amsterdam, Netherlands

ISSN

0927-538X

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2014, Elsevier BV