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Open AccessJournal ArticleDOI

Speed of information adjustment in Indian stock indices

TLDR
In this article, the authors tried to analyse the speed at which information gets incorporated into the various stock indices in India and found that the Sensex and Nifty indices, the constituents of which are large capitalization stocks, led the smaller indices till 2009.
Abstract
This study attempts to analyse the speed at which information gets incorporated into the various stock indices in India. Four alternate speed estimators viz., the AR (1) model, the ARMA (1, 1) model, the ARMA (1, X) model, and the cross-covariance estimator were calculated to estimate the rate at which information is adjusted. The lead–lag relationships between indices with varied characteristics were also analysed. It was observed that the Sensex and the Nifty indices, the constituents of which are large capitalisation stocks, led the smaller indices till 2009. This was disturbed in 2010 and 2011, especially by bank indices.

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Accounting for unadjusted news sentiment for asset pricing

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Speed of Price Adjustment towards Market Efficiency: Evidence from Emerging Countries:

TL;DR: In this paper, the speed with which stock markets adjust to information and news flow into asset prices is of importance to investors, regulators and policymakers, and the authors provide a simple and uniform...
References
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Journal ArticleDOI

Estimating the Dimension of a Model

TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.

Estimating the dimension of a model

TL;DR: In this paper, the problem of selecting one of a number of models of different dimensions is treated by finding its Bayes solution, and evaluating the leading terms of its asymptotic expansion.
Journal ArticleDOI

Trading Volume and Cross-Autocorrelations in Stock Returns

TL;DR: In this article, the authors find that trading volume is a significant determinant of the lead-lag patterns observed in stock returns, and that returns on low volume portfolios respond more slowly to information in market returns.
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Trading Volume and Cross-Autocorrelations in Stock Returns

TL;DR: This article found that trading volume is a significant determinant of the lead-lag patterns observed in stock returns, and the speed of adjustment of individual stocks confirms these findings, indicating that differential speed of adjusting to information was a significant source of the cross-autocorrelation patterns in short-horizon stock returns.
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A Simple Measure of Price Adjustment Coefficients

TL;DR: In this paper, the authors developed a simple approach to estimate the price adjustment coefficients by using the information in return processes, and found evidence of a lagged adjustment in shorter return intervals for firms in all market value classes.
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