This paper compares how fast the information and news flows are incorporated into the stock index and prices of its constituent stocks. We follow the empirical framework provided by Kayal and Maheswaran (J Emerg Mark Finance 30, S112-S135, 2018a ) using the extreme value volatility estimators over rolling window multiple days’ horizon to compare the speed of price adjustment to the market information flows. This study uses the daily price data of Nifty index and the individual stock prices of the fifty constituent stocks of this index. We observe a paradox in the speed of price adjustment as the stock index exhibit continuous random walk while many of the constituent stocks exhibit excess volatility in the same time frame. We run our analysis for two different time periods. Both the time periods exhibit a similar finding.

中文翻译：

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印度股市的价格调整速度：一个悖论

本文比较了信息和新闻流被纳入股票指数及其成分股价格的速度。我们遵循 Kayal 和 Maheswaran (J Emerg Mark Finance 30, S112-S135, 2018a) 提供的经验框架，使用滚动窗口多日范围内的极值波动率估计器来比较价格调整速度与市场信息流。本研究使用 Nifty 指数的每日价格数据和该指数 50 只成分股的个股价格。我们观察到价格调整速度的悖论，因为股指表现出连续随机游动，而许多成分股在同一时间范围内表现出过度波动。我们对两个不同的时间段进行分析。两个时间段都表现出类似的发现。