EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in indiv...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Nicolaus Copernicus University in Toruń
2021-02-01
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| Series: | Copernican Journal of Finance & Accounting |
| Subjects: | |
| Online Access: | https://apcz.umk.pl/CJFA/article/view/33341 |
| _version_ | 1797728914779406336 |
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| author | Anju Bala Kapil Gupta |
| author_facet | Anju Bala Kapil Gupta |
| author_sort | Anju Bala |
| collection | DOAJ |
| description | The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty-100, Nifty-200 and Nifty MidCap-50. Findings are consistent with Sadique and Silvapulle (2001), Henry (2002), Cavalcante (2002) and Baum, Barkoulas ans Caglayan (1999). |
| first_indexed | 2024-03-12T11:21:02Z |
| format | Article |
| id | doaj.art-9bfc821280094163b084da5120e8af08 |
| institution | Directory Open Access Journal |
| issn | 2300-1240 2300-3065 |
| language | English |
| last_indexed | 2024-03-12T11:21:02Z |
| publishDate | 2021-02-01 |
| publisher | Nicolaus Copernicus University in Toruń |
| record_format | Article |
| series | Copernican Journal of Finance & Accounting |
| spelling | doaj.art-9bfc821280094163b084da5120e8af082023-09-02T00:19:54ZengNicolaus Copernicus University in ToruńCopernican Journal of Finance & Accounting2300-12402300-30652021-02-0193EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIAAnju Bala0Kapil Gupta1I.K. Gujral Punjab Technical UniversityI.K. Gujral Punjab Technical UniversityThe present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty-100, Nifty-200 and Nifty MidCap-50. Findings are consistent with Sadique and Silvapulle (2001), Henry (2002), Cavalcante (2002) and Baum, Barkoulas ans Caglayan (1999).https://apcz.umk.pl/CJFA/article/view/33341emerging marketlong memorypersistence and market efficiency |
| spellingShingle | Anju Bala Kapil Gupta EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA Copernican Journal of Finance & Accounting emerging market long memory persistence and market efficiency |
| title | EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA |
| title_full | EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA |
| title_fullStr | EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA |
| title_full_unstemmed | EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA |
| title_short | EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA |
| title_sort | examining the long memory in stock returns and liquidity in india |
| topic | emerging market long memory persistence and market efficiency |
| url | https://apcz.umk.pl/CJFA/article/view/33341 |
| work_keys_str_mv | AT anjubala examiningthelongmemoryinstockreturnsandliquidityinindia AT kapilgupta examiningthelongmemoryinstockreturnsandliquidityinindia |