Please use this identifier to cite or link to this item:
https://gnanaganga.inflibnet.ac.in:8443/jspui/handle/123456789/10476
Title: | Determining Speed of Adjustment Coefficient |
Authors: | Prashant Joshi |
Issue Date: | 2013 |
Publisher: | Global Journal of Research In Management |
Abstract: | The study employs ARMA (1,1) model to estimate speed of adjustment coefficients in SandP CNX Nifty during 2004-2013. The sub-sample analysis reveals the evidence of overreaction in NSE during 2004-2008. The findi ngs suggest that prices are speedily adjusting to intrinsic values during 2009-2013 for the stock market. It seems that the steps taken by the stock exchanges to reform market microstructure have led to improvement in speed of adjustment coefficients. |
URI: | http://gnanaganga.inflibnet.ac.in:8080/jspui/handle/123456789/10476 |
Appears in Collections: | Articles to be qced |
Files in This Item:
File | Size | Format | |
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DETERMINING SPEED OF ADJUSTMENT COEFFICIENT.pdf Restricted Access | 1.96 MB | Adobe PDF | View/Open Request a copy |
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