Examining the Long Memory in Stock Returns and Liquidity in India

• Autorzy: Anju Bala , Kapil Gupta
• Języki publikacji: EN

Abstrakty

EN

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). (original abstract)

Słowa kluczowe

PL

Rynek akcji; Płynność finansowa; Indeks giełdowy; Ewidencja obrotu akcjami; Rynek papierów wartościowych

EN

Equity market; Financial liquidity; Stock market indexes; Stock trading records; Securities market

• Czasopismo: Copernican Journal of Finance & Accounting
• Rocznik: 2020
• Tom: 9
• Numer: nr 3
• Strony: 25-43

Twórcy

autor

Anju Bala

• I.K. Gujral Punjab Technical University, India

autor

Kapil Gupta

• I.K. Gujral Punjab Technical University, India

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Identyfikatory

DOI

10.12775/CJFA.2020.010