Research Journal of Commerce & Behavioural Science - RJCBS

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Proof that properly anticipated prices fluctuate randomly. Industrial Management Review. 6: 41-48. Sharma, J.L. and Kennedy, Robert E (1977). A Comparative Analysis of Stock Price Behavior on the Bombay, London and New York Stock Exchanges. J. Financial and Quantitative Analysis. September: 391-413. Subhash Chander and Philip (2003). Behaviour of Stock Market Prices at BSE and NSE: An Application of Runs Test. J. Accounting and Finance. 17(2): 41-57. Yalawar, Y.B. (1988). Bombay Stock Exchange: Rate of Return and Efficiency. Indian Economic Journal. 35(4): 68-121. i The term random does not imply that price movements are erratic or chaotic, just that prices respond only to new information. This information may be randomly good or bad and prices will therefore move in an unpredictable manner. The movements themselves are a perfectly rational response to the available information (Keane, 1983). The market efficiency theory is inconsistent with the possibility for analysts and investors to spot over- and undervalued stocks with different investment strategies in order to earn excess return. An efficient market is one where market price is an unbiased estimate of the true value of investment. Contrary to the popular view, it does not require that the market price be equal to true value at every point in time. All it requires is that errors in the market price be unbiased, i.e., that price can be greater than or less than true value, as long as these deviations are random. ii Non-normal stable distributions have "fat tails" that generally satisfy a convergence property defined by Wilfred Pareto. For this reason, non-normal stable distributions are often called stable Paretian distributions. www.theinternationaljournal.org > RJCBS: Volume: 01, Number: 08, June-2012 Page 52
APPENDIX TABLE-1: ADF TEST OF PRICES Commodities t-Statistic Prob.* ADF Statistics 1)GOLD -0.276069 0.9258 -2.863972 2)SILVER -2.863977 0.6058 -1.354392 3)COPPER -1.917971 0.3241 -2.863974 4)ZINC -1.332403 0.6162 -2.863974 5)ALUM -2.863974 0.4715 -1.620845 6)NATGAS -17.92243 0 -2.864649 7)CRUDEOIL -2.863972 0.5642 -1.43908 8)REFSOYA -2.864031 0.4165 -1.728647 9)SOYABEAN -1.301508 0.6302 -2.867496 10)PEPPER -2.863974 0.0321 -3.034252 11)CHANA -2.864013 0.0594 -2.79384 12)ZEERA -2.863977 0.2143 -2.178846 13)WHEAT -0.647119 0.8569 -2.867949 TABLE-11: DESCRITIVE ANALYSIS OF DAILY RETURNS DAILY ADF (TVAL) ADF(ST) MEAN SD ENERGY NATU GAS -2.8 -16.0 0.0567 1.2175 CRUDEOIL -2.864 -15.755 0.0004 0.0163 AGRI COMM JEERA -2.863 -16.071 0.0028 0.0738 CHANNA -2.877 -9.0478 0.0004 0.0164 PEPPER -2.863 -11.368 0.0016 0.0142 REFINED SOYA -2.864 -19.734 0.0005 0.0056 SOYABEAN -2.867 -13.155 0.0007 0.0142 WHEAT -2.899 -9.7441 -0.001 0.0487 METAL ZINC -2.863 -13.774 -0.001 0.0236 ALUMINIUM -2.877 -9.1853 -0.008 0.0209 COPPER -2.877 -5.0726 0 0.0191 SILVER -2.863 -12.96 0 0.0152 GOLD -2.863 -11.767 0.0002 0.0095 DAILY SK KURT J&BERA (P V) KS (P V) ENERGY NATU GAS 20.792 434.26 3425897.94 (0) 13.447 (0) CRUDEOIL -0.042 3.7932 11.6130587 (0) 5.5727 (0) AGRI COMM JEERA 14.923 317.14 1817292.73 11.902 (0) (5.95E-11) CHANNA -0.645 6.6052 267.643148 7.4592 (0) (0.003007851) PEPPER 0.6188 5.6637 157.447936 (0) 8.2581 (0) REFINED SOYA 0.6177 3.7607 38.4205162 (0) 9.8324 (0) SOYABEAN -6.425 91.125 144744.33 (0) 6.9686 (0) WHEAT -19.76 405.19 29805.4 7.6134 (0) (-4.54E-09) METAL ZINC -0.417 4.3915 48.0814395 (0) 4.6484 (0) ALUMINIUM 3.1649 78.943 105987.188 (0) 6.6341 (0) COPPER -0.291 4.4968 47.0915449 (0) 5.3402 (0) SILVER -0.39 5.313 108.812321 7.1522 (0) (3.62E-11) GOLD -0.453 498 128.914701 (0) 8.3672 (0) DAILY ACF(AC) ACF -P VA RUNS (ZA) RUNS(PV ENERGY NATU GAS -0.04 0.242 0.946 0.343 CRUDEOIL -0.035 0.241 1.562 0.118 AGRI COMM JEERA -0.239 0.011 -3.74 0.0001 CHANNA 0.027 0.366 -1.949 0.0512 PEPPER 0.03 0.321 -6.016 1.78E-09 REFINED SOYA 0.027 0.369 -6.022 1.72E-09 SOYABEAN 0.026 0.569 -1.11 0.2667 WHEAT 0.01 0.841 -5.549 0 METAL ZINC 0.014 0.646 2.143 0.03 ALUMINIUM -0.058 0.052 2.324 0.02 COPPER 0.007 0.811 1.518 1.518 SILVER 0.007 0.811 -1.089 0.275 GOLD 0.008 0.793 -0.755 0.449 TABLE-111: DESCRITIVE ANALYSIS OF WEELY RETURNS WEEKLY ADF(T-VAL) ADF(STAS) MEAN SD NATL GAS -2.864 -16.001 0 0.04 CRUDEOIL -2.864 -15.755 0.001 0.02 AGRI COM JEERA -2.863 -16.071 0.032 0.23 CHANNA -2.877 -9.0478 0.003 0.03 PEPPER -2.863 -11.368 0.037 0.28 REFINED SOYA -2.864 -19.734 -0.01 0.1 SOYABEAN -2.867 -13.15 0.035 0.28 WHEAT -2.899 -9.7441 0.004 0.01 METAL ZINC -2.863 -13.774 0 0.03 ALUMINIM -2.877 -9.1853 0 0.01 COPPER -2.877 -5.0726 0.004 0.02 SILVER -2.863 -12.96 0.001 0.03 GOLD -2.863 -11.767 0 0.01 WEEKLY SKEWNES S KURTOSI S JARQUEBER A (P VALUE) NATL GAS -0.713 4.961 18.36134 (0.100923) CRUDEOIL -0.081 2.624 0.523536 (0) AGRI COM JEERA 8.398 72.02 15769.1 (0.692813) CHANNA -0.295 4.056 4.574182 (0.000103) PEPPER 8.341 71.4 15488.74 (0.76969) REFINEDSOY -8.351 71.51 15539.96 A (0) SOYABEAN 8.337 71.42 15499.38 (0) WHEAT 1.408 5.889 50.85251 (0) METAL ZINC -0.331 3.613 2.545997 (0.101561) ALUMINIM 0.193 3.292 0.73399 (0) COPPER -0.015 3.95 2.824737 (0) SILVER 2.296 15.77 575.5493 (0) GOLD -0.23 4.121 4.586791 (0.279991) KS (p) value) 13.447 (0) 5.5727(0 ) 11.902(0 ) 7.4592(0 ) 8.2583 (0) 9.8324 (0) 6.9686(0 ) 7.6007(0 ) 4.6484(0 ) 6.6341(0 ) 5.3402(0 ) 7.1522(0 ) 8.3672(0 ) WEEKLY ACF ACF(PVAL) RUNS RUNS(P) (AC) (ZA) NATL GAS -0.518 0 1.23 0.2173 CRUDEOIL -0.582 0 -1.31 0.188 AGRI COM JEERA -0.115 0 1.23 0.2173 CHANNA -0.148 0 -1.31 0.188 PEPPER -0.078 0.01 0.65 0.5113 REFINEDSOYA -0.078 0.011 -0.07 0.9415 SOYABEAN -0.078 0.092 -2.4 0.0162 www.theinternationaljournal.org > RJCBS: Volume: 01, Number: 08, June-2012 Page 53
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Table of Contents Articles INFRONIC
Page 4 and 5: Hyundai, Hero Honda, Pepsi, Ford, U
Page 6 and 7: priority to strategy for maintainin
Page 8 and 9: the Brundtland Report and was anoth
Page 10 and 11: know why it is important and educat
Page 12 and 13: TABLE - 2 ASSOCIATION OF THE LEVEL
Page 14 and 15: Freight Forwarders Hurdles In The O
Page 16 and 17: score of 13071 points. From the ana
Page 18 and 19: JOURNAL - RESEARCH PAPER REFERENCES
Page 20 and 21: The extent to which a farmer can un
Page 22 and 23: Results and discussion Table 1 show
Page 24 and 25: Financial inclusion for sustainable
Page 26 and 27: tech agriculture which is almost eq
Page 28: THE ROLE OF BANKS IN FINANCIAL INCL
Page 31 and 32: the job (Robins 2003, p.72). It is
Page 33 and 34: Research Methodology Questionnaire
Page 35 and 36: Lok, P., Crawford, J. (1999), "The
Page 37 and 38: Ethical issues in accessing people'
Page 39 and 40: complexity of the knowledge system.
Page 41 and 42: in public domain without any possib
Page 43 and 44: ‘Environmental Conservation: Ethi
Page 45 and 46: influencing the purchase of branded
Page 47 and 48: During purchase of apparel, female
Page 49 and 50: Test of Pricing Efficiency and Dist
Page 51 and 52: section gives the introduction of c
Page 53: efined soya, as shown in table 11.
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