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Long Term Memory:Evidence from Major Sectoral Indices of India


Affiliations
1 Department of Management, I.K. Gujral Punjab Technical University, Jalandhar, India
2 Department of Management, I.K. Gujral Punjab Technical University, Jalandhar, Punjab, India
     

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This paper tests the existence of long term memory with reference to structural changes/breaks in Indian Stock Market. Furthermore, the present paper applied Hurst Exponent in Rescaled Range Analysis as suggested by Hurst (1951) and Lo (1991) and structural breaks detected by using Multiple Break Test (Balcilar et al., 2015) by using daily returns of sectoral indices from January 2010 to May 2018. Empirical evidence shows the predictable structure in all sectoral indices (2010-2018) except Nifty Private Bank with H value 0.4972. The findings imply that existence of long memory would be useful for the investors, practitioners, academicians, and policymakers.

Keywords

Emerging Market, Long Term Memory, Hurst Exponent, Structural Breaks, Market Efficiency.
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  • Long Term Memory:Evidence from Major Sectoral Indices of India

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Authors

Anju Bala
Department of Management, I.K. Gujral Punjab Technical University, Jalandhar, India
Kapil Gupta
Department of Management, I.K. Gujral Punjab Technical University, Jalandhar, Punjab, India

Abstract


This paper tests the existence of long term memory with reference to structural changes/breaks in Indian Stock Market. Furthermore, the present paper applied Hurst Exponent in Rescaled Range Analysis as suggested by Hurst (1951) and Lo (1991) and structural breaks detected by using Multiple Break Test (Balcilar et al., 2015) by using daily returns of sectoral indices from January 2010 to May 2018. Empirical evidence shows the predictable structure in all sectoral indices (2010-2018) except Nifty Private Bank with H value 0.4972. The findings imply that existence of long memory would be useful for the investors, practitioners, academicians, and policymakers.

Keywords


Emerging Market, Long Term Memory, Hurst Exponent, Structural Breaks, Market Efficiency.

References