Testing the Long Memory Feature in Indian Equity Market
Published: 2018
Author(s) Name: Anju Bala and Kapil Gupta |
Author(s) Affiliation: Research Scholar in Finance, Dept. of Mgt., I.K.Gujral Punjab Technical Univ., Jalandhar, Punjab.
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Abstract
The Present paper examined the long memory
behavior in Indian equity market. This paper uses
the data from January 2000 to March 2018 of
Sensex, Nifty-50 and VIX. By using the Rescaled
range analysis as proposed by Lo (1951) ‘Hurst
Exponent’, this indicates that there is significant
long memory in Sensex and Nifty-50 returns
series. However, volatility does not show any
persistence but exhibit clustering. The study
conclude that there is not persistence behavior
with respect to long memory effect on Nifty-50
returns subject to occurrence of structural
breaks(demonization).The study concludes with
managerial relevance and issued for futures
research. Findings would be beneficial for the
investors, practitioners, academics and policy
makers etc. To the best of our knowledge, there
is dearth of literature on the subject in Indian
equity market. Therefore the present study is an
attempt to plug this gap.
Keywords: Long Memory, Hurst exponent, Volatility Clustering, Market Efficiency, Structural Breaks.
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