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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

Tytuł:
EXAMINING THE LONG MEMORY IN STOCK RETURNS AND LIQUIDITY IN INDIA
Twórca:
Bala, Anju;
Gupta, Kapil
Opis:
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).
Dostępność obiektu:
free access
Prawa:
Prawa autorskie (c) 2021 Copernican Journal of Finance & Accounting
Data:
2021.02.27
Typ:
info:eu-repo/semantics/article;
info:eu-repo/semantics/publishedVersion
Język:
English
Źródło:
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
Wydawca:
Uniwersytet Mikołaja Kopernika w Toruniu
Relacja: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.010/28317
Temat i słowa kluczowe:
emerging market;
long memory;
persistence and market efficiency;
C1;
C5;
G1;
G14
Identyfikator: https://apcz.umk.pl/CJFA/article/view/CJFA.2020.010
Dostawca danych:
Akademicka Platforma Czasopism

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