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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