Is the Indian stock market efficient? Evidence from a TAR model with an autoregressive unit root

References

• Abhyankar , A. , Copeland , L. S. and Wong , W. 1995 . Nonlinear dynamics in real-time equity market indices: evidence from the United Kingdom . Economic Journal , 105 : 864 – 80 .
   Web of Science ®Google Scholar
• Abhyankar , A. , Copeland , L. S. and Wong , W. 1997 . Uncovering nonlinear structure in real-time stock-market indexes: the S&P 500, the DAX, the Nikkei 225, and the FTSE-100 . Journal of Business and Economic Statistics , 15 : 1 – 14 .
   Web of Science ®Google Scholar
• Alimov , A. A. , Chakraborty , D. , Cox , R. and Jain , A. 2004 . The random-walk hypothesis on the Bombay stock exchange . Finance India , 18 : 1251 – 8 .
   Google Scholar
• Caner , M. and Hansen , B. E. 2001 . Threshold autoregression with a unit root . Econometrica , 69 : 1555 – 96 .
   Web of Science ®Google Scholar
• Chaudhuri , K. and Wu , Y. 2003 . Random-walk versus breaking trend in stock prices: evidence from emerging markets . Journal of Banking & Finance , 27 : 575
   Web of Science ®Google Scholar
• Chaudhuri , K. and Wu , Y. 2004 . Mean reversion in stock prices: evidence from emerging markets . Managerial Finance , 30 : 22 – 31 .
   Google Scholar
• Cooray , A. and Wickremasinghe , G. 2008 . The efficiency of emerging stock markets: empirical evidence from the South Asian region . Journal of Developing Areas , 41 : 171 – 83 .
   Google Scholar
• Dickey , D. A. and Fuller , W. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
   Web of Science ®Google Scholar
• Gough , O. and Malik , A. 2005 . “ Random-walk in emerging markets: a case study of the Karachi stock exchange ” . In Risk Management in Emerging Markets , Edited by: Motamen-Samadian , S. New York : Palgrave Macmillan .
   Google Scholar
• Hayashi , F. 2000 . Econometrics , Princeton : Princeton University Press .
   Google Scholar
• Kwiatkowski , D. , Phillips , P. C. B. , Schmidt , P. and Shin , Y. 1992 . Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? . Journal of Econometrics , 54 : 159 – 78 .
   Web of Science ®Google Scholar
• Lee , J. and Strazicich , M. C. 2003 . Minimum LM unit root test with one structural break . Review of Economics and Statistics , 85 : 1082 – 9 .
   Web of Science ®Google Scholar
• Narayan , P. K. 2005 . Are the Australian and New Zealand stock prices nonlinear with a unit root? . Applied Economics , 37 : 2161 – 6 .
   Web of Science ®Google Scholar
• Narayan , P. K. 2006 . The behaviour of US stock prices: evidence from a threshold autoregressive model . Mathematics and Computers in Simulation , 71 : 103 – 8 .
   Web of Science ®Google Scholar
• Phengpis , C. 2006 . Are emerging stock market price indices really stationary . Applied Financial Economics , 16 : 931 – 9 .
   Google Scholar
• Phillips , P. C. B. and Perron , P. 1988 . Testing for unit roots in time series regression . Biometrika , 75 : 423 – 70 .
   Google Scholar
• Said , S. E. and Dickey , D. A. 1985 . Hypothesis testing in ARIMA (p, 1, q) models . Journal of the American Statistical Association , 80 : 369 – 74 .
   Web of Science ®Google Scholar
• Shively , P. A. 2003 . The nonlinear dynamics of stock prices . Quarterly Review of Economics and Finance , 43 : 505 – 17 .
   Google Scholar
• Zivot , E. and Andrews , D. W. K. 1992 . Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis . Journal of Business and Economic Statistics , 10 : 251 – 70 .
   Web of Science ®Google Scholar