The structure and price efficiency of an emerging market

Document Type

Article

Publication Title

International Journal of Commerce and Management

Abstract

This paper examines market structure and efficiency of price transmittals in the two national stock exchanges of India: The Bombay Stock Exchange and the National Stock Exchange. Price movements in a large number of important stocks in both markets are considered. The framework used is the Johansen-Juselius multivariate cointegration technique. It is discovered that price movements within each market are cointegrated. Short-run ECM analysis shows that no stock in any market is exogenous, thus indicating that there is considerable feedback in short-run price movements from each stock. Some short-run price movements are stabilizing. The Bombay Stock Exchange and National Stock Exchange appear to be reasonably efficient markets. © Emerald Backfiles 2007

Publication Date

1-4-2000

Publisher

Emerald Group Publishing Ltd.

Volume

Vol.10

Issue

Iss.2

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