EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in indiv...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Nicolaus Copernicus University in Toruń
2021-02-01
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| Series: | Copernican Journal of Finance & Accounting |
| Subjects: | |
| Online Access: | https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/33341 |