Research Journal of Commerce & Behavioural Science - RJCBS

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ANNEXURE 1.1 Consumer preference of apparel types: Apparel Types Preference of Apparel Types Branded 47 In-house Apparels 11 Both 26 Influence of factors on branded apparels 1 Least Important 1.2 Influence of Factors 2 Not important 3 Important 4 very Important 5 Most important Brand Loyalty 2 36 42 16 4 Brand awareness 0 15 25 45 15 Brand association 0 12 21 44 25 Perceived quality 1 8 18 41 32 self concepts 1 2 16 27 54 www.theinternationaljournal.org > RJCBS: Volume: 01, Number: 08, June-2012 Page 46
Test of Pricing Efficiency and Distributional Properties: Indian Commodity Market Prof. Sanjay Sehgal Associate Professor in Department of Commerce at Sri Aurobindo College (M), University of Delhi, Dr. Namita Rajput Professor of finance in Department Of Financial Studies, south campus at University of Delhi Abstract— In this paper we perform the test of random walk for Indian Commodity Market. Spot price data is used for thirteen commodities from 2006-2011.We find that daily commodity returns are not normally distributed and exhibit short term serial dependence which can be exploited by technical traders. Commodity return parameters such as mean returns and volatility do not vary significantly across commodity classes i.e. agriculture, metal and energy. Further commodity return characteristics are sensitive to observation frequency and tend to follow a random walk on monthly observation hence commodity traders, investors and researchers shall find more appropriate to work on low frequency data. The study contributes to both market efficiency and alternate Asset literature of emerging markets. Index Terms— Weak-form market efficiency, emerging market, Indian commodity Markets, trading strategies, observation frequency. Jel Codes: G14, G15, C12, C14, C46. F I. INTRODUCTION luctuations in commodity prices are of interest because they affect the decisions taken by producers and consumers; they play a crucial role in commodity-related investments, project appraisals, and strategic planning; and they reflect and influence general economic activity. The ability to accurately forecast the price of these various natural resource products is therefore an important concern in both policy and business circles. The Efficient Markets Hypothesis (EMH) states that an efficient capital market is one in which security prices adjust rapidly to the arrival of new information, and therefore, the current prices of securities reflect all information about them (FAMA 1970). Three sets of assumptions imply an efficient capital market: (a) new information regarding securities come to the market in a random fashion, and the timing of one announcement is generally independent of others, (b) an efficient market requires that a large number of competing profit-maximizing participants analyze and value securities, each independently of others, (c) the competing investors attempt to adjust . Dr. Namita Rajput is an Associate Professor in Department of Commerce at Sri Aurobindo College (M), University of Delhi, India (phone: +91- 9312180054; +91-8285888860; e-mail: drnamitarajput@ymail.com). Prof. Sanjay Sehgal is a Professor of finance in Department Of Financial Studies, south campus at University of Delhi, India, ESC-PAU, France, (e-mail: sanjayfin15@yahoo.co.in). security prices rapidly to reflect the effect of new information. Although the price adjustment may be imperfect, it is unbiased. This means that sometimes the market will under-adjust or over-adjust, but an investor cannot predict which will occur at any given time. The main corollary of the idea that markets are efficient is that price movements do not follow any patterns or trends; hence past price movements cannot be used to predict future prices. Rather, prices follow what is known as a ‘random walk’, an intrinsically unpredictable pattern i . If we believe that efficient market hypothesis is a valid proposition, then the current asset prices should reflect all generally available information. The efficient market hypothesis implies that since market prices reflect all available information, including the information about the future, the only difference between the prices at Pt and Pt+1 are events that we cannot possibly predict, i.e. a random event. Hence, in an efficient market, stock prices can be statistically tested for random walk hypothesis. Recently the efficient markets hypothesis and the notions connected with it have provided the basis for a great deal of research in financial economics. Voluminous literature has developed supporting this hypothesis. Briefly stated, the EMH claims that asset prices are rationally related to economic realities and always incorporate all the information available to the market. This implies the absence of exploitable excess profit opportunities. The EMH has received a lot of empirical support in the academic literature during seventies and eighties. This line of thought has always been viewed with a lot of skepticism in the professional community, which led to the use of charts and technical analysis rules for trading strategies in markets. Numerous researchers conducted empirical studies in testing weak-form efficiency for several stock markets and employed various techniques but the empirical evidence is controversial. There is a substantial body of literature on market efficiency and stock return behavior, but similar research for commodity market is limited. Mainly the studies are concentrated in the developed stock markets particularly US market. However, the needs of more research in the emerging and less developed markets are well recognized, especially in commodity market. EMH can be tested in various forms; most common are “Weak Form” tests in which the set of available information is simply the history of market prices. Rejection of hypothesis requires the researchers to demonstrate dependencies in the history of prices which can be profitably www.theinternationaljournal.org > RJCBS: Volume: 01, Number: 08, June-2012 Page 47
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Page 18 and 19: JOURNAL - RESEARCH PAPER REFERENCES
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Page 24 and 25: Financial inclusion for sustainable
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