Random or Deterministic? Evidence from Indian Stock Market
Abstract
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 decisionKeywords: R/S Analysis, V-Statistic, Non-linear DynamicsJEL Classifications: C22, C53, G14Downloads
Download data is not yet available.
Downloads
Additional Files
Published
2016-10-21
How to Cite
Bora, I., & Tripathy, N. (2016). Random or Deterministic? Evidence from Indian Stock Market. International Journal of Economics and Financial Issues, 6(4), 1716–1721. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/2908
Issue
Section
Articles
Views
- Abstract 123
- PDF 211
- Untitled 0