How profitable is the Indian stock market?

Paresh Kumar Narayan, Huson Ali Ahmed, Susan Sunila Sharma, Prabheesh K.P.

Research output: Contribution to journalArticleResearchpeer-review

26 Citations (Scopus)

Abstract

In this paper, using a range of technical trading and momentum trading strategies, we show that the Indian stock market is profitable. We find robust evidence that investing in some sectors is relatively more profitable than investing in others. We show that sectoral heterogeneity with respect to profitability is a result of the gradual diffusion of information from the market to the sectors. Specifically, we show that while the market predicts returns of sectors, the magnitude of predictability varies with sectors. Our results are robust to a range of trading strategies.

Original languageEnglish
Pages (from-to)44-61
Number of pages18
JournalPacific Basin Finance Journal
Volume30
DOIs
Publication statusPublished - Nov 2014
Externally publishedYes

Keywords

  • India
  • Momentum
  • Predictability
  • Profits
  • Sectors
  • Stock market
  • Technical trading

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