EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA

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...

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Bibliographic Details
Main Authors: Anju Bala, Kapil Gupta
Format: Article
Language:English
Published: Nicolaus Copernicus University in Toruń 2021-02-01
Series:Copernican Journal of Finance & Accounting
Subjects:
emerging market
long memory
persistence and market efficiency
Online Access:https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/33341
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spelling doaj-2f7a00f2b1c84fdfb167d9d103ece5d72021-06-23T16:41:20ZengNicolaus Copernicus University in ToruńCopernican Journal of Finance & Accounting2300-12402300-30652021-02-0193254310.12775/CJFA.2020.01026805EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIAAnju Bala0Kapil Gupta1I.K. Gujral Punjab Technical UniversityI.K. Gujral Punjab Technical UniversityThe 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 individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty-100, Nifty-200 and Nifty MidCap-50. Findings are consistent with Sadique and Silvapulle (2001), Henry (2002), Cavalcante (2002) and Baum, Barkoulas ans Caglayan (1999).https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/33341emerging marketlong memorypersistence and market efficiency
collection DOAJ
language English
format Article
sources DOAJ
author Anju Bala
Kapil Gupta
spellingShingle Anju Bala
Kapil Gupta
EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
Copernican Journal of Finance & Accounting
emerging market
long memory
persistence and market efficiency
author_facet Anju Bala
Kapil Gupta
author_sort Anju Bala
title EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
title_short EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
title_full EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
title_fullStr EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
title_full_unstemmed EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
title_sort examining the long memory in stock returns and liquidity in india
publisher Nicolaus Copernicus University in Toruń
series Copernican Journal of Finance & Accounting
issn 2300-1240
2300-3065
publishDate 2021-02-01
description 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 individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty-100, Nifty-200 and Nifty MidCap-50. Findings are consistent with Sadique and Silvapulle (2001), Henry (2002), Cavalcante (2002) and Baum, Barkoulas ans Caglayan (1999).
topic emerging market
long memory
persistence and market efficiency
url https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/33341
work_keys_str_mv AT anjubala examiningthelongmemoryinstockreturnsandliquidityinindia
AT kapilgupta examiningthelongmemoryinstockreturnsandliquidityinindia
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