Monday, 04 Dec, 2023




Determining speed of Adjustment Coefficient: A Study of NSE

Global Journal of Research in Management

Volume 3 Issue 2

Published: 2013
Author(s) Name: Prashant Joshi | Author(s) Affiliation: Professor & Head, Department of Management, Uka Tarsadia University, Bardoli, India
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The study employs ARMA (1,1) model to estimate speed of adjustment coefficients in S&P CNX Nifty during 2004-2013. The sub-sample analysis reveals the evidence of overreaction in NSE during 2004-2008. The findings suggest that prices are speedily adjusting to intrinsic values during 2009-2013 for the stock market. It seems that the steps taken by the stock exchanges to reform market microstructure have led to improvement in speed of adjustment coefficients.

Keywords: Speed of adjustment, Underreaction, Overreaction

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