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January 14th, 2010, 12:23 PM
During the past few years Indian Capital Market has undergone metamorphic reforms. Every segment of Indian Capital Market viz primary and secondary markets, derivatives, institutional investment and market intermediation has experienced impact of these changes. Our market, today, is being recognized as one of the most transparent, efficient and clean markets. Several techniques /instruments are used by academicians, policy makers, practitioners and investors to test the extent of efficiency of the market. In this research paper, an attempt has been made to analyse distributional characteristics of stock indices in India and compare them with some of the mature as well as emerging capital markets around the globe. Return (Mean), Volatility (Standard Deviation), Skewness and Kurtosis are computed for various indices for different lengths of periods. These, known as first, second, third and fourth order moments of a distribution respectively, provide a picture of Indian stock price movements.
In the recent past there have been perceptions that volatility in the market has gone up; Inter and Intra-day volatility. News items and some clinical research papers also provided figures to evidence this argument. SEBI undertook a comprehensive and deep analysis of volatility by using several statistical techniques to measure and analyse it. Eighteen countries covering almost all continents- developed as well as emerging markets and young and old markets- have been analysed. The results show that the volatility has not gone up much in the recent past as it has been perceived. Indian stock market provides a very high rate of return and comparatively moderate volatility. Efficiency of Indian market appear to have improved in the past few years owing to contraction in settlement cycles, introduction of derivative products, improvement in corporate governance practices etc,. Stock market return exhibit informational efficiency and approximates to normal distribution.
I heartily extend my congratulations to the Research Department for bringing out this paper. I also expect it to conduct further study at individual stock level, to find out behaviour of idiosyncratic volatility which will be of great help to various policy makers.
In the recent past there have been perceptions that volatility in the market has gone up; Inter and Intra-day volatility. News items and some clinical research papers also provided figures to evidence this argument. SEBI undertook a comprehensive and deep analysis of volatility by using several statistical techniques to measure and analyse it. Eighteen countries covering almost all continents- developed as well as emerging markets and young and old markets- have been analysed. The results show that the volatility has not gone up much in the recent past as it has been perceived. Indian stock market provides a very high rate of return and comparatively moderate volatility. Efficiency of Indian market appear to have improved in the past few years owing to contraction in settlement cycles, introduction of derivative products, improvement in corporate governance practices etc,. Stock market return exhibit informational efficiency and approximates to normal distribution.
I heartily extend my congratulations to the Research Department for bringing out this paper. I also expect it to conduct further study at individual stock level, to find out behaviour of idiosyncratic volatility which will be of great help to various policy makers.