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Random or Deterministic? Evidence from Indian Stock Market

Author

Listed:
  • Ivani Bora

    (FPM Scholar, Indian Institute of Management Shillong, Meghalaya, India,)

  • Naliniprava Tripathy

    (Professor (Finance) and Dean Research, Indian Institute of Management Shillong, Meghalaya, India.)

Abstract

This study investigates the presence of long memory and non-linear dynamics in Indian stock market returns for a period of 19 years from May 1997 to May 2016 by using rescaled range (R/S) method and V-statistics. The empirical findings suggest that Indian stock market shows a high degree of long-range persistence and future stock price can be predicted. The study also finds the presence of multiple non-periodic cycles in the data generating process, with a maximum cycle length of 3.7 years. This study is quite helpful to the participants of the capital markets to improve their portfolio performance by taking efficient strategy before making investment decision.

Suggested Citation

  • Ivani Bora & Naliniprava Tripathy, 2016. "Random or Deterministic? Evidence from Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1716-1721.
    • Handle: RePEc:eco:journ1:2016-04-57
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    R/S Analysis; V-statistic; Non-linear Dynamics;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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