JEFAS Vol. 27 Nº 54 (2022)
URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4142
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Ítem Solo Metadatos Risk-managed time-series momentum: an emerging economy experience(Universidad ESAN. ESAN Ediciones, 2022-12-28) Singh, Simarjeet; Walia, Nidhi; Bekiros, Stelios; Gupta, Arushi; Kumar, Jigyasu; Mishra, Amar KumarPurpose: This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach. Design/methodology/approach: The study considers the adjusted monthly closing prices of the stocks listed on the Bombay Stock Exchange from January 1996 to December 2020 to formulate long-short portfolios. Newey–West t statistics were used to test the significance of momentum returns. The present research has considered standard risk factors, i.e. market, size and value, to evaluate the risk-adjusted performance of time-series momentum portfolios. Findings: The present research reports a substantial absolute momentum effect in the Indian equity market. However, absolute momentum strategies are exposed to occasional severe losses. The proposed time-series momentum approach not only yields 2.5 times higher return than the standard time-series momentum approach but also causes substantial enhancement in downside risks and higher-order moments. Practical implications: The study's outcomes offer valuable insights for professional investors, capital market regulators and asset management companies. Originality/value: This study is one of the pioneers attempting to test the time-series momentum effect in emerging economies. Besides, current research contributes to the escalating literature on risk-managed momentum by suggesting a novel revised time-series momentum approach.Ítem Solo Metadatos Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices(Universidad ESAN. ESAN Ediciones, 2022-12-28) Elangovan, Rajesh; Irudayasamy, Francis Gnanasekar; Parayitam, S.Purpose: Despite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market. Design/methodology/approach: For analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test. Findings: The empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient. Research limitations/implications: The findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers. Practical implications: Investment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected. Social implications: As economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy. Originality/value: Amid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.
