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 |