Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta
This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Accounting Research Institute (ARI), Universiti Teknologi MARA, Shah Alam
2020
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| Online Access: | https://ir.uitm.edu.my/id/eprint/31037/1/31037.pdf |
| _version_ | 1796903154101518336 |
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| author | Bala, Anju Gupta, Kapil |
| author_facet | Bala, Anju Gupta, Kapil |
| author_sort | Bala, Anju |
| collection | UITM |
| description | This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004). |
| first_indexed | 2024-03-06T02:15:55Z |
| format | Article |
| id | oai:ir.uitm.edu.my:31037 |
| institution | Universiti Teknologi MARA |
| language | English |
| last_indexed | 2024-03-06T02:15:55Z |
| publishDate | 2020 |
| publisher | Accounting Research Institute (ARI), Universiti Teknologi MARA, Shah Alam |
| record_format | dspace |
| spelling | oai:ir.uitm.edu.my:310372022-06-15T03:47:36Z https://ir.uitm.edu.my/id/eprint/31037/ Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta mar Bala, Anju Gupta, Kapil Stock exchanges. Insider trading in securities This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004). Accounting Research Institute (ARI), Universiti Teknologi MARA, Shah Alam 2020-04 Article PeerReviewed text en https://ir.uitm.edu.my/id/eprint/31037/1/31037.pdf Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta. (2020) Management & Accounting Review (MAR) <https://ir.uitm.edu.my/view/publication/Management_=26_Accounting_Review_=28MAR=29/>, 19 (1): 1. pp. 1-20. ISSN 2550-1895 https://mar.uitm.edu.my/ |
| spellingShingle | Stock exchanges. Insider trading in securities Bala, Anju Gupta, Kapil Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title | Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title_full | Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title_fullStr | Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title_full_unstemmed | Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title_short | Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta |
| title_sort | examining the impact of structural breaks on long memory of stock returns evidence from bombay stock exchange of india long memory anju bala and kapil gupta |
| topic | Stock exchanges. Insider trading in securities |
| url | https://ir.uitm.edu.my/id/eprint/31037/1/31037.pdf |
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