PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2020 | 9 | nr 3 | 25--43
Tytuł artykułu

Examining the Long Memory in Stock Returns and Liquidity in India

Warianty tytułu
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)
Rocznik
Tom
9
Numer
Strony
25--43
Opis fizyczny
Twórcy
autor
  • I.K. Gujral Punjab Technical University, India
autor
  • I.K. Gujral Punjab Technical University, India
Bibliografia
  • Aydogan, K., & Booth, G. G. (1988). Are there long cycles in common stock returns? Southern Economic Journal, 141-149.
  • Badhani, K. N. (2006). Empirical Regularities in the Intra-Week Trading Patterns of Foreign Institutional Investors in India. Working Paper SSRN, http://dx.doi.org/10.2133/ssrn900501.
  • Badhani, K. N. (2008) Long memory in stock returns and volatility in India: A nonparametric analysis. ICFAI Journal of Applied Finance, 14(12), 34-53.
  • Badhani, K. N. (2012). Does Nifty have a Long Memory? Semi-parametric Estimation of Fractional Integration in Returns and Volatility. Decision, 39(3),86- 100.
  • Baillie, R. T. (1996). Long memory processes and fractional integration in econometrics. Journal of econometrics, 73(1), 5-59.
  • Baillie, R. T., & Morana, C. (2009). Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach. Journal of Economic Dynamics and Control, 33(8), 1577-1592.
  • Bala, A., & Gupta, K. (2018). Testing the long memory feature in Indian equity market. Journal of Research in Management, 10(2), 24-33.
  • Balcilar, M., Ozdemir, Z. A., & Cakan, E. (2015). Structural breaks, long memory or unit roots in stock prices: Evidence from emerging markets. International Econometric Review (IER), 7(1), 13-33.
  • Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and its Applications, 390(23- 24), 4426-4432.
  • Barkoulas, J. T., & Baum, C. F. (1996). Long-term dependence in stock returns. Economics Letters, 53(3), 253-259.
  • Barkoulas, J. T., Baum, C. F., & Travlos, N. (2000). Long memory in the Greek stock market. Applied Financial Economics, 10(2), 177-184.
  • Baum, C. F., Barkoulas, J. T., & Caglayan, M. (1999). Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float? Journal of International Financial Markets, Institutions and Money, 9(4), 359-376.
  • Bhattacharya, S. N., & Bhattacharya, M. (2012). Long memory in stock returns: A study of emerging markets. Iranian Journal of Management Studies, 5(5), 67-88.
  • Bhattacharya, S. N., & Bhattacharya, M. (2013). Long memory in return structures from developed markets. Management Letters, 13(2), 127-143. http://dx.doi.org/10.5295/cdg.110312sb.
  • Bhattacharya, S. N., Sengupta, P., Bhattacharya, M., & Roychoudhury, B. (2016). Multidimensional liquidity: Evidences from Indian stock market. Applied Finance Letters, 5(2). http://dx.doi.org/10.24135/afl.v5i2.47.
  • Booth, G. G., & Tse, Y. (1995). Long memory in interest rate futures markets: A fractional cointegration analysis. Journal of Futures Markets, 15(5), 573-584.
  • Cajueiro, D. O., & Tabak, B. M. (2005). Possible causes of long-range dependence in the Brazilian stock market. Physica A: Statistical Mechanics and its Applications, 345(3), 635-645.
  • Cajueiro, D. O., & Tabak, B. M. (2008). Testing for long-range dependence in world stock markets. Chaos, Solitons & Fractals, 37(3), 918-927.
  • Caporale, G. M., & Gil-Alana, L. A. (2008). Long memory and structural breaks in the Spanish stock market index. Open Operational Research Journal, 2, 13-17.
  • Cavalcante, J., & Assaf, A. (2004). Long range dependence in the returns and volatility of the Brazilian stock market. European review of Economics and Finance, 3(5), 22.
  • Cevik, P., & Emec, H. (2013). Long memory properties in return and volatility: An application of the impact of arab spring in turkey financial market. Current Research Journal of Social Sciences, 5(2), 60-66.
  • Chen, J. H., & Diaz, J. F. (2013). Long memory and shifts in the returns of green and nongreen Exchange- Traded Funds (ETFs). International Journal of Humanities and Social Science Invention, 2(10), 29-32.
  • Chen, J. H., & Huang, Y. F. (2014). Long memory and structural breaks in modelling the volatility dynamics of VIX-ETFs. International Journal of Business, Economics and Law, 4(1), 54-63.
  • Cheung, Y. W., & Lai, K. S. (1995). A search for long memory in international stock market returns. Journal of International Money and Finance, 14(4), 597-615.
  • Chow, K. V., Denning, K. C., Ferris, S., & Noronha, G. (1995). Long-term and short-term price memory in the stock market. Economics Letters, 49(3), 287-293.
  • Christodoulou-Volos, C., & Siokis, F. M. (2006). Long range dependence in stock market returns. Applied Financial Economics, 16(18), 1331-1338.
  • Chung, H., Lin, W. T., & Wu, S. (2000). An analysis of long memory in volatility for Asian stock markets. Review of Pacific Basin Financial Markets and Policies, 3(3), 309-330.
  • Cont, R. (2005). Long range dependence in financial markets. In Fractals in Engineering, pp. 159-179. London: Springer.
  • Danilenko, S. (2009). Long-term memory effect in stock prices analysis. Economics and management, 14, 151-155.
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
  • Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.
  • Garvey, J., & Gallagher, L. (2009). Fractional Integration in Equity Volatility.
  • Gayathri, M., Murugesan, S., & Gayathri, J. (2012). Persistence and long range dependence in Indian stock market returns. International Journal of Management and Business Studies, 2(4), 72-77.
  • Goudarzi, H., & Ramanarayanan, C. S. (2011). Modeling asymmetric volatility in the Indian stock market. International Journal of Business and Management, 6(3), 221.
  • Greene, M. T., & Fielitz, B. D. (1977). Long-term dependence in common stock returns. Journal of Financial Economics, 4(3), 339-349.
  • Gurgul, H., & Wojtowicz, T. (2006). Long memory on the German stock exchange. Czech Journal of Economics and Finance (Finance a uver), 56(9-10), 447-468.
  • Hassler, U., & Wolters, J. (1995). Long memory in inflation rates: International evidence. Journal of Business and Economic Statistics, 13(1), 37-45.
  • Henry, O. T. (2002). Long memory in stock returns: some international evidence. Applied financial economics, 12(10), 725-729.
  • Hiremath, G. S., & Kamaiah, B. (2010). Long memory in stock market volatility: Indian evidences. ArthaVijnana, 52(4), 332-345.
  • Hiremath, G. S., & Kamaiah, B. (2011). Testing long memory in stock returns of emerging markets: Some further evidence. Economics, Management, and Financial Markets, 6(3), 136-147.
  • Huang, B. N., & Yang, C. W. (1999). An examination of long-term memory using the intraday stock returns. (Technical Report 99-03). Clarion: Clarion University of Pennsylvania.
  • Hull, M., & McGroarty, F. (2014). Do emerging markets become more efficient as they develop? Long memory persistence in equity indices. Emerging Markets Review, 18, 45-61.
  • Hurst, H. E. (1951) The long-term storage capacity of reservoir. Transactions of the American Society of Civil Engineers 116(1), 770-799.
  • Jayasuriya, S. A. (2009). A Sub Period Analysis of Long Memory in Stock Return Volatility. In 9th Global Conference on Business and Finance.
  • Kang, S. H., & Yoon, S. M. (2007). Long memory properties in return and volatility: Evidence from the Korean stock market. Physica A: Statistical Mechanics and its Applications, 385(2), 591-600.
  • Kilic, R. (2004). On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange. Applied Financial Economics, 14(13), 915-922.
  • Krishnan, R., & Mishra, V. (2013). Intraday liquidity patterns in Indian stock market. Journal of Asian Economics, 28, 99-114.
  • Kumar, A. (2004). Long memory in stock trading volume: Evidence from Indian stock market. Working Paper SSRN. http://dx.doi.org/10.2139/ssrn.557681.
  • Kumar, D. (2014). Long-range dependence in Indian stock market: A study of Indian sectoral indices. International Journal of Emerging Markets, 9(4), 505-519.
  • Kumar, G., & Misra, A. K. (2018). Commonality in liquidity: Evidence from India's national stock exchange. Journal of Asian Economics, 59, 1-15.
  • Lillo, F., & Farmer, J. D. (2004). The long memory of the efficient market. Studies in nonlinear dynamics & econometrics, 8(3).
  • Limam, I. (2003). Is long memory a property of thin stock markets? International Evidence usingArab countries. Review of Middle East Economics and Finance, 1(3), 251- 266.
  • Lo, A. (1991). Long term memory in stock market prices. Econometrica, 59(5), 1279- -1313.
  • Ma, C., Li, H., Zou, L., & Wu, Z. (2006). Long-term memory in emerging markets: evidence from the Chinese stock market. International Journal of Information Technology & Decision Making, 5(03), 495-501).
  • Mahalingam, G., & Selvam, M. (2014). Stock market reaction during the global financial crisis in India: fractal analysis. Asia-Pacific Journal of Management Research and Innovation, 10(4), 403-412.
  • Mandelbrot, B. B. (1971). When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models. The Review of Economics and Statistics, 225-236.
  • Mandelbrot, B. B. (1997). The variation of certain speculative prices. In Fractals and scaling in finance. New York: Springer. http://dx.doi.org/10.1007/g78-1-4757-2763- cz14.
  • Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394-419.
  • Mukherjee, I., Sen, C., & Sarkar, A. (2011). Long memory in stock returns: Insights from the Indian market. The International Journal of Applied Economics and Finance, 5(1), 62-74.
  • Nath, G. C., & Reddy, Y. V. (2002). Long memory in rupee-dollar exchange rate: An empirical study. In Capital Market Conference, December 2002.
  • Onour, I. A. (2010). North Africa stock markets: Analysis of long memory and persistence of shocks. International Journal of Monetary Economics and Finance, 3(2), 101- -111.
  • Ozun, A., & Cifter, A. (2007). Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets. Studies in Economics and Finance, 25(1), 38-48. http://dx.doi.org/10.1108/10867370810857559.
  • Peters, E.E. (1994), Fractal Market Analysis, New York: John Wiley nad Sons, Inc.
  • Peters, E.E. (1996), Chaos and Order in the Capital Markets. 2nd Edition, John Wiley and Sons, Inc.
  • Sadique, S., & Silvapulle, P. (2001). Long- term memory in stock market returns: International evidence. International Journal of Finance and Economics, 6(1), 59-67.
  • Soofi, A. S., Wang, S., and Zhang, Y. (2006). Testing for long memory in the Asian foreign exchange rates. Journal of Systems Science and Complexity, 19(2), 182-190.
  • Souza, S. R., Tabak, B. M., and Cajueiro, D. O. (2008). Long-range dependence in exchange rates: The case of the European monetary system. International Journal of Theoretical and Applied Finance, 11(2), 199-223.
  • Turkyilmaz, S., & Balibey, M. (2014). Long memory behavior in the returns of Pakistan stock market: ARFIMA-FIGARCH models. International Journal of Economics and Financial Issues, 4(2), 400-441.
  • Verma, A. (2008). Long memory of the Indian stock market. The IUP Journal of Financial Economics, 6(3), 74-83.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171613101

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.