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Persistence in daily returns of stocks with highest market capitalization in the Indian market

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  • Rupel Nargunam

    (Madras School of Economics)

  • Ananya Lahiri

    (Indian Institute of Technology Tirupati)

Abstract

The study in this paper emphasizes the presence of long memory or persistence observed in the Indian stock market. The analysis is performed on the daily returns of stocks with highest market capitalization listed in the national stock market index NIFTY. Empirically, persistence is quantified by the values obtained through calculating the Hurst exponent, H and further analysis like Detrended Fluctuation Analysis (DFA), Multifractal Detrended Fluctuation Analysis (MFDFA) and the multifractal spectrum analysis are carried out to determine the observed degree of fractality. Further, the observed multifractality present is analysed by plotting Hurst surfaces through Multiscale Multifractal Analysis (MMA). It is observed that the return series of the prices of stock with the highest market capitalization shows multifractal characteristics and indicates the presence of long-range dependence in the Indian stock market. The results of our analysis provide are statistically significant to contradict the validity of the Efficient Market Hypothesis (EMH) in Indian stock returns.

Suggested Citation

  • Rupel Nargunam & Ananya Lahiri, 2022. "Persistence in daily returns of stocks with highest market capitalization in the Indian market," Digital Finance, Springer, vol. 4(4), pages 341-374, December.
    • Handle: RePEc:spr:digfin:v:4:y:2022:i:4:d:10.1007_s42521-022-00066-6
    DOI: 10.1007/s42521-022-00066-6
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    Cited by:

    1. Suchetana Sadhukhan & Poulomi Sadhukhan, 2022. "Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis," Papers 2210.09619, arXiv.org.

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    More about this item

    Keywords

    Multifractal; Long-range dependence; Hurst surface; Persistence; Indian stock returns;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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