Rational Bubbles in the Indian Stock Market: Empirical Evidence from the NSE 500 Index.
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AGRAWAL, J.D. Finance IndiaSummary: The objective of this paper is to test the presence of 'rational bubbles' in the equity market of India represented by the National stock exchange (NSE), using monthly stock prices and dividends data. The period of the study spans over nearly two decades, viz., January, 1996 to April, 2014 and the sample comprises of the 500 companies that constitute the NSE 500 index, based on their market capitalization. The methodologies employ a range of linear (symmetric adjustment) and non-linear (asymmetric adjustment) cointegration approaches. The findings suggest that there is no cointegration between stock prices and dividends based on the linear approaches, indicative of the presence of 'rational bubbles'. However, based on the non-linear approaches (which have greater significance than their linear counterparts) the hypothesis of the existence of 'rational bubbles' in the Indian equity market is rejected
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Journal Article
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Main Library | Vol 32, Issue 2/ 5559316JA2 (Browse shelf(Opens below)) | Available | 5559316JA2 | |||||
Journals and Periodicals
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Main Library On Display | JP/FIN/Vol 32, Issue 2/5559316 (Browse shelf(Opens below)) | Vol 32, Issue 2 (05/08/2021) | Not for loan | June, 2018 | 5559316 |
The objective of this paper is to test the presence of 'rational bubbles' in the equity market of India represented by the National stock exchange (NSE), using monthly stock prices and dividends data. The period of the study spans over nearly two decades, viz., January, 1996 to April, 2014 and the sample comprises of the 500 companies that constitute the NSE 500 index, based on their market capitalization. The methodologies employ a range of linear (symmetric adjustment) and non-linear (asymmetric adjustment) cointegration approaches. The findings suggest that there is no cointegration between stock prices and dividends based on the linear approaches, indicative of the presence of 'rational bubbles'. However, based on the non-linear approaches (which have greater significance than their linear counterparts) the hypothesis of the existence of 'rational bubbles' in the Indian equity market is rejected
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