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Paper Details

Analyzing Long Range Dependence in Stock Markets of India

Prashant Joshi
Abstract


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.

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