Random or Deterministic? Evidence from Indian Stock Market

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  • Ivani Bora
  • Naliniprava Tripathy Indian 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 decisionKeywords: R/S Analysis, V-Statistic, Non-linear DynamicsJEL Classifications: C22, C53, G14


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Author Biography

Naliniprava Tripathy, Indian institute of Management Shillong

Dr. Naliniprava Tripathy is Professor and Dean Research at Indian Institute of Management Shillong, India. Prior Joining to Shillong, She has also served as Associate Professor at IIM Indore, India. She holds M.Com, M.Phil, PhD and D.Litt Degree in Management. She is also the recipient of Post-Doctoral Research Award of University Grant Commission, Government of India; New Delhi. She is the author of over 80 scholarly research papers and seven books. Currently she is Editorial Board member of International Journal of Business and Emerging Markets Inderscience Publisher, UK, Editorial Board Member of International Journal of Business and Development Research, Build Bright University, Cambodia Editorial Board Member of The AIMS International Journal of Management, USA, , Editorial Board Member of Global Review of Accounting and Finance, Australia,. She is the Editor of Annual Journal “IIMS Journal of Management Science”. She can be contacted: nalini_prava@yahoo.co.in/nt@iimshillong.in


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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