Ashish Garg

Momentum Effect in Indian Stock Market: A Sectoral Study

Jegadeesh and Titman (1993) found that when stocks are ranked on the basis of their past returns, then past winners outperform the past loser in the medium-term period. They suggested a zero-investment trading strategy termed momentum trading strategy, consisting of taking long position in the winner portfolio and short position in the loser portfolio, to generate abnormal profit. In this article, we demonstrated that the momentum trading strategy is robust in Indian stock market over the period of 2000–2013. We evaluated a range of trading strategies over alternative backward-looking ranking periods and forward-looking holding horizons in some prominent industries in India and found strong presence of momentum returns in various industries. The same conclusion we have drawn about the market as a whole that provides evidence against weak form of market efficiency.

Herding by Foreign Institutional Investors: An Evidential Exploration for Persistence and Predictability

ABSTRACT The primary objective of the study is to explore the predictability of herding patterns of foreign institutional investors in the Indian market using high frequency data over a period from January 2003 to June 2014. Herding of an individual stock was measured estimating a simple volume based ratio and persistence of trends was detected using the runs test (Wald and Wolfowitz [1940]) on that ratio. Predictability of herding behavior has been successfully modeled by applying 7 data mining models using various measures of performance. Market regulators may consider our findings to regulate the foreign institutional investors trading to make the financial system more transparent and robust.