英文标题：
《Is the Indian Stock Market efficient - A comprehensive study of Bombay
  Stock Exchange Indices》
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作者：
Achal Awasthi and Oleg Malafeyev
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最新提交年份：
2015
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英文摘要：
  How an investor invests in the market is largely influenced by the market efficiency because if a market is efficient, it is extremely difficult to make excessive returns because in an efficient market there will be no undervalued securities i.e. securities whose value is less than its assumed intrinsic value, which offer returns that are higher than the deserved expected returns, given their risk. However, there is a possibility of making excessive returns if the market is not efficient. This article analyses the five popular stock indices of BSE. This would not only test the efficiency of the Indian Stock Market but also test the random walk nature of the stock market. The study undertaken in this paper has provided strong evidence in favor of the inefficient form of the Indian Stock Market. The series of stock indices in the Indian Stock Market are found to be biased random time series and the random walk model can\'t be applied in the Indian Stock Market. This study confirms that there is a drift in market efficiency and investors can capitalize on this by correctly choosing the securities that are undervalued.
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中文摘要：
投资者在市场上的投资方式在很大程度上受市场效率的影响，因为如果一个市场是有效的，就很难获得超额回报，因为在一个有效的市场中，不会有价值低于其假定内在价值的证券，这些证券提供的回报高于应有的预期回报，考虑到他们的风险。然而，如果市场没有效率，就有可能获得超额回报。本文分析了疯牛病流行的五种股票指数。这不仅会测试印度股市的效率，还会测试股市的随机游走性质。本文的研究为印度股市的低效形式提供了有力的证据。印度股市的股票指数序列是有偏随机时间序列，随机游走模型不能应用于印度股市。这项研究证实了市场效率存在漂移，投资者可以通过正确选择被低估的证券来利用这一点。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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