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Long Term Memory: Evidence from Major Sectoral Indices of India

International Journal of Business Analytics and Intelligence

Volume 7 Issue 1

Published: 2019
Author(s) Name: Anju Bala, Kapil Gupta | Author(s) Affiliation: Research Scholar (Finance), Department of Management, I.K. Gujral Punjab Tech. Univ., Jalandhar
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Abstract

This paper tests the existence of long term memory with reference to structural changes/breaks in Indian Stock Market. Furthermore, the present paper applied Hurst Exponent in Rescaled Range Analysis as suggested by Hurst (1951) and Lo (1991) and structural breaks detected by using Multiple Break Test (Balcilar et al., 2015) by using daily returns of sectoral indices from January 2010 to May 2018. Empirical evidence shows the predictable structure in all sectoral indices (2010-2018) except Nifty Private Bank with H value 0.4972. The findings imply that existence of long memory would be useful for the investors, practitioners, academicians, and policymakers.

Keywords: Emerging Market, Long Term Memory, Hurst Exponent, Structural Breaks, Market Efficiency

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