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EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA

Object's details: EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA

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Provider:Akademicka Platforma Czasopism

Description

Title:
EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
Creator:
Bala, Anju;
Gupta, Kapil
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).
Object availability:
free access
Rights:
Prawa autorskie (c) 2021 Copernican Journal of Finance & Accounting
Date:
2021.02.27
Type:
info:eu-repo/semantics/article;
info:eu-repo/semantics/publishedVersion
Language:
English
Source:
Copernican Journal of Finance & Accounting; Vol. 9 No. 3 (2020); 25-43;
Copernican Journal of Finance & Accounting; Tom 9 Nr 3 (2020); 25-43;
2300-3065;
2300-1240
Format:
application/pdf
Publisher:
Uniwersytet Mikołaja Kopernika w Toruniu
Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.010/28317
Subject:
emerging market;
long memory;
persistence and market efficiency;
C1;
C5;
G1;
G14
Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.010
Data provider:
Akademicka Platforma Czasopism

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