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Examining The Long Memory In Stock Returns And Liquidity In India

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Listed:
  • Anju Bala
  • Kapil Gupta

    (I.K. Gujral Punjab Technical University, India
    I.K. Gujral Punjab Technical University, India)

Abstract

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).

Suggested Citation

  • Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    • Handle: RePEc:cpn:umkcjf:v:9:y:2020:i:3:p:25-43
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