Indian Equity Market Since Liberalization : Efficiency, Volatility and Structural Break

Contents: Foreword. Acknowledgements. 1. Introduction and overview. 2. Capital market and macro-economy : the Indian scenario. 3. Related literature. 4. The equity market and the real sector : market efficiency and causality. 5. Volatility modeling in equity returns. 6. Structural break in equity returns. 7. Concluding observations and policy implications. Appendix. Acronyms. Glossary. Index. References.

"This book intends to provide an in-depth analysis of the Indian equity market since the initiation of the liberalization era. The initial chapters of the book cover an overview of the composition, functioning and evolution of the Indian equity market and its relation to macroeconomic fundamentals over the years and also a broad survey of the theoretical and empirical studies relating to the equity market. The remaining chapters focus on application of contemporary time-series methodologies for an empirical analysis of the Indian equity market in the light of market informational efficiency, volatility and structural break. For these chapters a priori knowledge on fundamentals of econometrics is assumed. The issue of capital flows and its implication for the Indian equity market receives special attention. Primarily catering to advanced graduate, postgraduate and doctoral level courses in finance, financial econometrics, economics and business, this book is hoped to be of great use to academicians, researchers, and financial practitioners."