UGC Approved Journal no 63975(19)

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Published in:

Volume 7 Issue 12
December-2020
eISSN: 2349-5162

UGC and ISSN approved 7.95 impact factor UGC Approved Journal no 63975

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Published Paper ID:
JETIR2012064


Registration ID:
304151

Page Number

492-499

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Title

Examining Efficiency of NSE Market using High Frequency Data

Abstract

Market Efficiency is the base to explain the relationship between information and stock market price. Market efficiency explains the capacity of the stock market to incorporate market information quickly. One of the primary assumptions of the Efficient Market Hypothesis is that investors are rational, but actually, investors are inefficient. Companies generate and frequently disseminate information at the intervals. The financial markets regularly process a variety of new information released at every short interval. With the advent of High-Frequency data, more information can be extracted that is not evident in low-frequency data. In this paper, the authors try to test the efficiency of the Market using ARMA and GARCH techniques and explain its implications. This paper follows the methodology pattern of Hartika Arora, 2017, closely.

Key Words

Market Efficiency; Volatility; High Frequency data; ARMA; GARCH.

Cite This Article

"Examining Efficiency of NSE Market using High Frequency Data", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.7, Issue 12, page no.492-499, December-2020, Available :http://www.jetir.org/papers/JETIR2012064.pdf

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2349-5162 | Impact Factor 7.95 Calculate by Google Scholar

An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 7.95 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator

Cite This Article

"Examining Efficiency of NSE Market using High Frequency Data", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.7, Issue 12, page no. pp492-499, December-2020, Available at : http://www.jetir.org/papers/JETIR2012064.pdf

Publication Details

Published Paper ID: JETIR2012064
Registration ID: 304151
Published In: Volume 7 | Issue 12 | Year December-2020
DOI (Digital Object Identifier): http://doi.one/10.1729/Journal.25165
Page No: 492-499
Country: Bengaluru, Karnataka, India .
Area: Commerce
ISSN Number: 2349-5162
Publisher: IJ Publication


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