Analyzing Long Range Dependence in Stock Markets of India
Using daily stock return data of Nifty of National Stock Exchange and Sensex of Bombay Stock Exchange
of India, we examine whether or not the stock market prices exhibit long range dependence. We employ
modified R/S method of Lo(1991) and a variety of different time domain based as well as frequency domain based
graphical and statistical methods described in Taqqua, Teverovskyand Willinger(1995, 1997) and Taqqu and Teverovksy(1997) for checking for long-run memory to the stock price series. We find empirical evidence of some- though rather
weak (i.e. H values of around 0.57)long- range dependence in the stock price returns.