Random or Deterministic? Evidence from Indian Stock Market
This study investigates the presence of long memory and non-linear dynamics in Indian stock market returns for a period of 19 years from May 1997 to May 2016 by using Rescaled Range (R/S) method and V-statistics. The empirical findings suggest that Indian stock market shows a high degree of long-ra...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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EconJournals
2016-10-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/2908 |
| _version_ | 1797908327359840256 |
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| author | Ivani Bora Naliniprava Tripathy |
| author_facet | Ivani Bora Naliniprava Tripathy |
| author_sort | Ivani Bora |
| collection | DOAJ |
| description |
This study investigates the presence of long memory and non-linear dynamics in Indian stock market returns for a period of 19 years from May 1997 to May 2016 by using Rescaled Range (R/S) method and V-statistics. The empirical findings suggest that Indian stock market shows a high degree of long-range persistence and future stock price can be predicted. The study also finds the presence of multiple non-periodic cycles in the data generating process, with a maximum cycle length of 3.7 years. This study is quite helpful to the participants of the capital markets to improve their portfolio performance by taking efficient strategy before making investment decision
Keywords: R/S Analysis, V-Statistic, Non-linear Dynamics
JEL Classifications: C22, C53, G14
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| first_indexed | 2024-04-10T10:51:02Z |
| format | Article |
| id | doaj.art-7f63e7545af24c12b8593841141dc780 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T10:51:02Z |
| publishDate | 2016-10-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-7f63e7545af24c12b8593841141dc7802023-02-15T16:20:08ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382016-10-0164Random or Deterministic? Evidence from Indian Stock MarketIvani BoraNaliniprava Tripathy0Indian institute of Management Shillong This study investigates the presence of long memory and non-linear dynamics in Indian stock market returns for a period of 19 years from May 1997 to May 2016 by using Rescaled Range (R/S) method and V-statistics. The empirical findings suggest that Indian stock market shows a high degree of long-range persistence and future stock price can be predicted. The study also finds the presence of multiple non-periodic cycles in the data generating process, with a maximum cycle length of 3.7 years. This study is quite helpful to the participants of the capital markets to improve their portfolio performance by taking efficient strategy before making investment decision Keywords: R/S Analysis, V-Statistic, Non-linear Dynamics JEL Classifications: C22, C53, G14 https://econjournals.com/index.php/ijefi/article/view/2908 |
| spellingShingle | Ivani Bora Naliniprava Tripathy Random or Deterministic? Evidence from Indian Stock Market International Journal of Economics and Financial Issues |
| title | Random or Deterministic? Evidence from Indian Stock Market |
| title_full | Random or Deterministic? Evidence from Indian Stock Market |
| title_fullStr | Random or Deterministic? Evidence from Indian Stock Market |
| title_full_unstemmed | Random or Deterministic? Evidence from Indian Stock Market |
| title_short | Random or Deterministic? Evidence from Indian Stock Market |
| title_sort | random or deterministic evidence from indian stock market |
| url | https://econjournals.com/index.php/ijefi/article/view/2908 |
| work_keys_str_mv | AT ivanibora randomordeterministicevidencefromindianstockmarket AT nalinipravatripathy randomordeterministicevidencefromindianstockmarket |