Dynamics of randomness and efficiency in the Indian stock markets
by S. Sujeesh Kumar; V. Nandamohan
International Journal of Financial Markets and Derivatives (IJFMD), Vol. 6, No. 4, 2018

Abstract: This paper analysed the behaviour of randomness and efficiency in the Indian stock markets in view of the efficient market hypothesis (EMH) and adaptive market hypothesis (AMH). We have examined the randomness in detail and found that there has been no uniformity or trend in randomness and further, efficiency is time varying. Although inefficiencies were evidenced during the period of study (1990-2014), improvement in efficiencies has been observed in some pockets of time, implying greater adaptability in the markets-BSE Sensex and NSE Nifty. Based on the Lyapunov exponent, indication of nonlinear deterministic chaos also detected. The extent of randomness has been compared between both the markets using an entropy measure.

Online publication date: Mon, 21-Jan-2019

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