( ISSN 2277 - 9809 (online) ISSN 2348 - 9359 (Print) ) New DOI : 10.32804/IRJMSH

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DYNAMICS OF LONG RUN AND SHORT RUN RELATIONSHIP BETWEEN SECTORAL INDICES OF BSE: AN APPLICATION OF COINTEGRATION AND CAUSALITY APPROACH

    2 Author(s):  LEENA ROY MALLICK , BIDYUT KUMAR GHOSH

Vol -  5, Issue- 10 ,         Page(s) : 208 - 221  (2014 ) DOI : https://doi.org/10.32804/IRJMSH

Abstract

Abstract The stock market efficiency of Bombay Stock Exchange in India is investigated through the cointegration and error correction methods framework. The study found that there exists causality among the sectoral indices of BSE. The coefficients of error terms are found to be negative and statistically significant implying that there exists short run dynamics with the long run equilibrium. The study concludes that the Bombay Stock Exchange is informationally inefficient and the Random Walk Hypothesis (RWH) is not valid in Indian context.

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