Authors : Neeraj Nautiyal; Ahmed Abubakar

Volume/Issue : Volume 9 - 2024, Issue 1 - January

Google Scholar : http://tinyurl.com/mr38zcfh

Scribd : http://tinyurl.com/5n7vbxy8

DOI : https://doi.org/10.5281/zenodo.10604691

Abstract : It's not uncommon for financial market reforms to be met with some level of reaction, as they can impact various stakeholders. Recent financial market reforms in the Indian economic ecosystem and overall investment patterns have sparked an overwhelming response. Considering that multiple factors contribute to the sharp increase (decrease) of stock prices that may not align with economic reasoning, we intend to examine the anticipated threshold impacts spanning from 2010 to 2020 using deflated and logarithmic weekly observations for Indian stock prices. The study analyzes potential herding behavior and bubbles in the market. Our research supports the validity of the present valuation model for predicting long-term returns with time-varying expected returns. Since the result identifies small bubble footprints and alarms investors to exercise caution in the Indian market, the findings also imply crucial implications for market practitioners to remain aware of the potential for the emergence of a future bubble.

Keywords : Bubble, Thresholding, Indian Capital Market, Herd Behavior, Non-Economic Factors.