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The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics

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  • Sitabhra Sinha
  • Raj Kumar Pan

Abstract

The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India. We find that the price returns in Indian markets follow a fat-tailed cumulative distribution, consistent with a power law having exponent $\alpha \sim 3$, similar to that observed in developed markets. However, the distributions of trading volume and the number of trades have a different nature than that seen in the New York Stock Exchange (NYSE). Further, the price movement of different stocks are highly correlated in Indian markets.

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  • Sitabhra Sinha & Raj Kumar Pan, 2006. "The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics," Papers physics/0605247, arXiv.org.
    • Handle: RePEc:arx:papers:physics/0605247
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    References listed on IDEAS

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    3. Vasiliki Plerou & Parameswaran Gopikrishnan & Luis. A. Nunes Amaral & Xavier Gabaix & H. Eugene Stanley, 1999. "Economic Fluctuations and Diffusion," Papers cond-mat/9912051, arXiv.org.
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    6. Parameswaran Gopikrishnan & Vasiliki Plerou & Xavier Gabaix & H. Eugene Stanley, 2000. "Statistical Properties of Share Volume Traded in Financial Markets," Papers cond-mat/0008113, arXiv.org.
    7. J. Doyne Farmer & Martin Shubik & Eric Smith, 2005. "Economics: the next physical science?," Cowles Foundation Discussion Papers 1520, Cowles Foundation for Research in Economics, Yale University.
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    Cited by:

    1. Sitabhra Sinha & Raj Kumar Pan, 2007. "Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE," Papers 0704.2115, arXiv.org.

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