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How profitable is the Indian stock market?

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posted on 2014-01-01, 00:00 authored by Paresh Narayan, Huson Ali Ahmed, Susan SharmaSusan Sharma, K P Prabheesh
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 sector. Our results are robust to a range of trading strategies.

History

Series

School Working Paper - Financial Econometrics Series ; SWP 2014/14

Pagination

1 - 41

Publisher

Deakin University, School of Accounting, Economics and Finance

Place of publication

Geelong, Vic.

Language

eng

Notes

School working paper (Deakin University. School of Accounting, Economics and Finance) ; 2014/14 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 sector. Our results are robust to a range of trading strategies.

Publication classification

CN.1 Other journal article

Copyright notice

2014, The Authors

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