Depiction ofNifty Midcap Index Efficiency Using ARIMA

Title

Depiction ofNifty Midcap Index Efficiency Using ARIMA

Creator

Ashok Kumar B.; Balaji L.

Description

In recent years, the desirability of midcaps in Indian stock markets has received considerable attention from researchers, academicians, and financial analysts due to expectation of multi-bagger returns. The present study is undertaken to determine the market efficiency of Indian stock market using Nifty Midcap Index at High Frequency. The market efficiency of Nifty Midcap Index is determined using ARIMA technique. The fitted ARIMA model had a MASE value close to one. Hence, the findings suggest that the Nifty Midcap Index is inefficient. The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2024.

Source

Lecture Notes in Networks and Systems, Vol-1, pp. 123-131.

Date

2024-01-01

Publisher

Springer Science and Business Media Deutschland GmbH

Subject

ARIMA; Market efficiency; Nifty Midcap Index; Volatility

Coverage

Ashok Kumar B., Government First Grade College Vemagal, Kolar, 536102, India; Balaji L., Christ University, Bengaluru, 560029, India

Rights

Restricted Access

Relation

ISSN: 23673370; ISBN: 978-981995014-0

Format

Online

Language

English

Type

Conference paper

Identifier

https://doi.org/10.1007/978-981-99-5015-7_11

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85200390176&doi=10.1007%2f978-981-99-5015-7_11&partnerID=40&md5=9a95aee6492332559f78439be027e5b4