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Momentum and contrarian strategies in the Indian stock market an evaluative study

Shodhganga@INFLIBNET

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Field Value
 
Title Momentum and contrarian strategies in the Indian stock market an evaluative study
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Contributor Dilip Kumar, M C
 
Subject Commerce
Momentum
Indian stock market
 
Description Stock prices are generally governed by rational inputs and irrationality in
newlinethe market can cause only daily, weekly and short run fluctuations. While
newlineirrationality takes prices away from its intrinsic value, rationality brings it back.
newlineContrarian investment strategy is followed under the assumption that typical herd
newlinebehaviour leads to overreaction to information and hence stocks which have gone
newlineup recently is over valued or vice versa. By taking the opposite position, contrarian
newlineexpects profit when the market turns rational. On the other hand, momentum
newlineinvestment strategy is followed by moving along with the tide. Here it is found
newlineuseful to follow the crowd and be a part of it. But if market is efficient in pricing,
newlinethen both these strategies will fail.
newlineThe present study is conducted to test the effectiveness of these two
newlineinvestment strategies in the Indian stock market. As a first step to this, the
newlineresearcher tested the market efficiency of Indian stock market. Indian Market is
newlinefound to be Weak-form inefficient and Strong form efficient. However, the study
newlinefound out that momentum and contrarian strategies could not deliver any superior
newlinereturns to Indian investors during the study period. Separate analysis was carried
newlineout by the researcher to test the efficiency o these tools, when Indian markets were
newlineseverely hit by global financial crisis. Interdependency of Indian Stock Market
newlinewith other leading emerging markets was also part of the study. The results
newlineconfirmed the evidence of significant correlation with these markets. The study is
newlineexpected to help Indian investors while taking various investment decisions.
newlineKey Words: Market Efficiency, Momentum Strategy, Contrarian Strategy, Interdependency of
newlineStock Market, Indian Stock Market, Global Financial Crisis.
Bibliography and Appendix included
 
Date 2014-02-12T11:55:24Z
2014-02-12T11:55:24Z
2014-02-12
n.d.
2010
n.d.
 
Type Ph.D.
 
Identifier http://hdl.handle.net/10603/15842
 
Language English
 
Relation -
 
Rights university
 
Format 211p.
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None
 
Coverage Commerce
 
Publisher Kottayam
Mahatma Gandhi University
Department of Commerce and Research Centre
 
Source INFLIBNET