Title: Incidence of speculations in equity return: evidence from Indian share market

Authors: Jimnee Deka; Meghna Sharma; Kamesh Tiwari

Addresses: Amity International Business School, Amity University, Noida, India ' Amity International Business School, Amity University, Noida, India ' Punjab National Bank, Amity International Business School, Amity University, Noida, India

Abstract: The capital asset pricing model (CAPM) and the efficient market hypothesis (EHM), two essential aspects of theorising traditional financial theories, assume rationality in investors and the overall market. These challenge the assumptions of investors being rational and making informed decisions. Human sentiments, behaviour, and emotions have started conquering the study of financial markets. Several studies are already dedicated to learning the risk-return component of the financial market. But there has been less devotion towards understanding what makes equities investments to be considered inherently riskier than debts. The analysis here attempts to separate fundamental and speculative factors from the performance of the Indian market indices. The fundamental element mimics the pattern in the firms' profits and how that affects investment returns. The impact of a change in the valuation of earnings on investment returns, or in other words, a movement in the P/E values, is shown in the speculative component. The optimism and pessimism level of investors is the cause of this. Statistical analysis of the market's overall returns demonstrates a considerable prevalence of speculative elements.

Keywords: behavioural finance; equity returns; financial markets; Indian share market; fundamental analysis; speculative returns.

DOI: 10.1504/IJIPM.2024.141534

International Journal of Intellectual Property Management, 2024 Vol.14 No.5, pp.411 - 428

Received: 14 Nov 2022
Accepted: 17 Apr 2023
Published online: 23 Sep 2024 *

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