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Testing the Long Memory Feature in Indian Equity Market


Affiliations
1 Department of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, India
2 epartment of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, India
     

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The Present paper examined the long memory behavior in Indian equity market. This paper uses the data from January 2000 to March 2018 of Sensex, Nifty-50 and VIX. By using the Rescaled range analysis as proposed by Lo (1951) ‘Hurst Exponent’, this indicates that there is significant long memory in Sensex and Nifty-50 returns series. However, volatility does not show any persistence but exhibit clustering. The study conclude that there is not persistence behavior with respect to long memory effect on Nifty-50 returns subject to occurrence of structural breaks(demonization).The study concludes with managerial relevance and issued for futures research. Findings would be beneficial for the investors, practitioners, academics and policy makers etc. To the best of our knowledge, there is dearth of literature on the subject in Indian equity market. Therefore the present study is an attempt to plug this gap.

Keywords

Long Memory, Hurst Exponent, Volatility Clustering, Market Efficiency, Structural Breaks.
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  • Testing the Long Memory Feature in Indian Equity Market

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Authors

Anju Bala
Department of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, India
Kapil Gupta
epartment of Management, I.K.Gujral Punjab Technical University, Jalandhar, Punjab, India

Abstract


The Present paper examined the long memory behavior in Indian equity market. This paper uses the data from January 2000 to March 2018 of Sensex, Nifty-50 and VIX. By using the Rescaled range analysis as proposed by Lo (1951) ‘Hurst Exponent’, this indicates that there is significant long memory in Sensex and Nifty-50 returns series. However, volatility does not show any persistence but exhibit clustering. The study conclude that there is not persistence behavior with respect to long memory effect on Nifty-50 returns subject to occurrence of structural breaks(demonization).The study concludes with managerial relevance and issued for futures research. Findings would be beneficial for the investors, practitioners, academics and policy makers etc. To the best of our knowledge, there is dearth of literature on the subject in Indian equity market. Therefore the present study is an attempt to plug this gap.

Keywords


Long Memory, Hurst Exponent, Volatility Clustering, Market Efficiency, Structural Breaks.

References