An Empirical Study of Stock Returns in India

29 Pages Posted: 18 Aug 2011

See all articles by Moid U. Ahmad

Moid U. Ahmad

Jaipuria Institute of Management Noida

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India

Date Written: August 18, 2011

Abstract

Secondary market is an integral part any economy. Stock market in India is immensely volatile. Any insight into this market is always encouraged. This paper is an attempt which tries to convert the dynamics of stock returns into a mathematical model. It is a part of the PhD research of the two authors. It is based on the concept of Arbitrage Pricing Theory which is of the opinion that the return of a stock is based on ā€˜nā€™ number of factors. Here, two factors have been used to understand the returns in Indian stock market. These are Financial and Market factors. Each of the two factors consists of input variables which are regressed over returns as dependent variable. Thus a model was generated using multivariate regression. Finally the constructed model is used to forecast return and compare it with actual return. This research is an attempt to contribute its bit to the literature on the subject and give an insight into the complex world of stock market.

Keywords: capital market, APT, multi factor models, CAPM

Suggested Citation

Ahmad, Moid U. and Siddiqui, Saif, An Empirical Study of Stock Returns in India (August 18, 2011). Available at SSRN: https://ssrn.com/abstract=1911737 or http://dx.doi.org/10.2139/ssrn.1911737

Moid U. Ahmad (Contact Author)

Jaipuria Institute of Management Noida ( email )

A-32A ,Sctor 62
Noida
Gautam Budh Nagar, UP 201309
India

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India ( email )

New Delhi
New Delhi, Delhi 110025
India

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