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  Published Paper Details:

  Paper Title

"EVIDENCES OF INFORMATIONAL SIGNALLING OF OVERNIGHT NEWS ON PRE-MARKET PRICE BEHAVIOUR OF INDIAN STOCK MARKETS

  Authors

  GIRISH B N,  Dr. H. NAGARAJ

  Keywords

Information signalling, overnight news, volatility, time series, VAR Model, GARCH Models

  Abstract


The purpose of this research paper is to identify whether the premarket opening prices of stock markets efficient in absorbing the previous days overnight informational shocks and the causative factors of such influences. For this purpose the premarket opening price of Nifty Fifty is considered as the target variable followed by FTSE100 Index as a proxy to European Stock Markes,S&P500 Index as a representative of US Stock Markets, Previous day closing prices of Nifty50,Volatility Index of NSE as a representative of perception of Investors are chosen.Time series econometric tools such as ADF Test, Granger Causality, VAR Model,GARCH Models were applied and the study found that that there is no other significant impact of other chosen Stock Markets on Indian Stock Markets which strongly suggest that our Markets are marching towards Informational Efficiency which is a pre-requisite condition for Efficient Markets.

  IJCRT's Publication Details

  Unique Identification Number - IJCRT1135143

  Paper ID - 239975

  Page Number(s) - 908-921

  Pubished in - Volume 6 | Issue 1 | January 2018

  DOI (Digital Object Identifier) -   

  Publisher Name - IJCRT | www.ijcrt.org | ISSN : 2320-2882

  E-ISSN Number - 2320-2882

  Cite this article

  GIRISH B N,  Dr. H. NAGARAJ,   ""EVIDENCES OF INFORMATIONAL SIGNALLING OF OVERNIGHT NEWS ON PRE-MARKET PRICE BEHAVIOUR OF INDIAN STOCK MARKETS", International Journal of Creative Research Thoughts (IJCRT), ISSN:2320-2882, Volume.6, Issue 1, pp.908-921, January 2018, Available at :http://www.ijcrt.org/papers/IJCRT1135143.pdf

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ISSN: 2320-2882
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Journal Starting Year (ESTD) : 2013
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ISSN and 7.97 Impact Factor Details


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ISSN: 2320-2882
Impact Factor: 7.97 and ISSN APPROVED
Journal Starting Year (ESTD) : 2013
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