Market efficiency and international diversification: Evidence from India

International Review of Economics and Finance

Volumn 19, Issue 2, 2010, Pages 313-339

  Dicle, Mehmet F ^a   Beyhan, Aydin ^b   Yao, Lee J ^a  

^a LOYOLA UNIVERSITY   (United States)

^b YEDITEPE UNIVERSITY   (Turkey)

Author keywords

Bombay Stock Exchange; Day of the week effect; India; Indian National Exchange; Market efficiency

Indexed keywords

EID: 75149193018     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2009.09.003     Document Type: Article

References (37)

1. Amihud Y., and Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (1986) 223-249
2. Badrinath S.G., and Wahal S. Momentum trading by institutions. Journal of Finance 57 (2002) 2449-2478
3. Bahng J.S.W. The response of the Indian stock market to movement of Asia's emerging markets: From isolation toward integration?. Finance India 19 (2005) 937-951
4. Barbieri K., Keshk O., and Pollins B. Correlates of War Project Trade Data Set Codebook, (2008). http://correlatesofwar.org Version 2.0. Online: http://correlatesofwar.org
5. Barbieri, K., Keshk, O. M. G., & Pollins, B. (forthcoming). "TRADING DATA: Evaluating our Assumptions and Coding Rules." Conflict Management and Peace Science.
6. Bhattacharya K., Sarkar N., and Mukhopadhyay D. Stability of the day of the week effect in return and in volatility at the Indian capital market: a GARCH approach with proper mean specification. Applied Financial Economics 13 (2003) 553-563
7. Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
8. Cha B., and Oh S. The relationship between developed equity markets and the Pacific Basin's emerging equity markets. International Review of Economics and Finance 9 (2000) 299-322
9. Chalmers J.M.R., and Kadlec G.B. An empirical examination of the amortized spread. Journal of Financial Economics 48 (1998) 159-188
10. Cheung Y.W., and Ng L.K. Interactions between the US and Japan stock markets indices. Journal of International Financial Markets, Institutions & Money 2 (1992) 51-70
11. Chordia T., Roll R., and Subrahmanyam A. Commonality in liquidity. Journal of Financial Economics 56 (2000) 3-28
12. Chordia T., Roll R., and Subrahmanyam A. Market liquidity and trading activity. Journal of Finance 56 (2001) 501-530
13. Choudhury T. Day of the week effect in emerging Asian stock markets: Evidence from the GARCH model. Applied Financial Economics 10 (2000) 235-242
14. Dicle, M. F. (2008). Commonality of liquidity around the world: Evaluation of possible reasons, Ph.D. Dissertation, University of New Orleans, Department of Economics and Finance, May, 2008.
15. Eleswarapu V.R. Cost of transacting and expected returns in the NASDAQ market. Journal of Finance 52 (1997) 2113-2127
16. Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica (1982) 987-1007
17. Eun C., and Shim S. International transmission of stock market movements. Journal of Financial and Quantitative Analysis 24 (1989) 241-256
18. Ferreira M.A., and Matos P.P. The colors of investors' money: The role of institutional investors around the world. Journal of Financial Economics 88 (2008) 499-533
19. Gompers, P. A., & Metrick, A. (1999). Institutional investors and equity prices, Working paper: University of Pennsylvania, The Wharton School.
20. Grinblatt M., Titman S., and Wermers R. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 85 (1995) 1088-1105
21. Grubel H. Internationally diversified portfolios: Welfare gains and capital flows. American Economic Review 58 (1968) 1299-1314
22. Hilliard J. The relationship between equity indices on world exchanges. Journal of Finance 34 (1979) 103-117
23. Huberman G., and Halka D. Systematic liquidity. Journal of Financial Research 24 (2001) 161-178
24. Jaffe J., and Westerfield R. The week-end effect in common stock returns: The international evidence. The Journal of Finance 40 (1985) 433-454
25. Jeon B., and Von-Furstenberg G. Growing international co-movement in stock price indexes. Quarterly Review of Economics and Finance 30 (1990) 17-30
26. Johnson R.R., and Jensen G.R. The reaction of foreign stock markets to U.S. discount rate changes. International Review of Economics & Finance 2 (1993) 181-193
27. Hassink H., Bollen L., and de Vries M. Symmetrical dialogue in investor relations. International Journal of Accounting and Information Management 16 (2008) 166-182
28. Kumar K.K., and Mukhopadyay C. Equity Market Interlinkages: Transmission of Volatility - A Case of US and India (2002), National Stock Exchange of India, India Research Paper
29. Lee S.B., and Kim K.J. Does the October 1987 crash strengthen the co-movement in stock price indexes. Quarterly Review of Economics and Business 3 (1994) 89-102
30. Misra B.M. Fifty years of the Indian capital market. Reserve Bank of India Occasional Papers vol. 18 (1997) 351-384
31. Nath G.C., and Verma S. Study of common stochastic trend and cointegration in the emerging markets: A case study of India, Singapore & Taiwan (2003), National Stock Exchange of India, India Research Paper
32. Nofsinger J.R., and Sias R.W. Herding and feedback trading by institutional and individual investors. Journal of Finance 54 (1999) 2263-2295
33. Poshakwale S. Evidence on weak form efficiency and day of the week effect in the Indian stock market. Finance India 10 (1996) 605-616
34. Ripley D.M. Systematic elements in the linkage of National Stock Market indices. Review of Economics and Statistics 55 (1973) 356-361
35. Sarkar A., Chakrabarti G., and Sen C. Indian stock market volatility in recent years: Transmission from global market, regional market and traditional domestic sectors. Journal of Asset Management 10 (2008) 63-71
36. Sharma J.L., and Kennedy R.E. Comparative analysis of stock price behavior on the Bombay (1977), London & New York Stock Exchanges, Journal Financial and Quantitative Analysis 391-403
37. Wong W.K., Agarwal A., and Du J. Financial integration for India stock market, a fractional cointegration approach. Finance India 18 (2004) 1581-1604