Stylized Facts of the Indian Stock Market

Rituparna Sen () and Manavathi Subramaniam ()
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Rituparna Sen: Indian Statistical Institute
Manavathi Subramaniam: PSG College of Technology

Asia-Pacific Financial Markets, 2019, vol. 26, issue 4, No 4, 479-493

Abstract: Abstract Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significant deviations in three main aspects, namely leverage, asymmetry and autocorrelation. Leverage and asymmetry are both reversed making this a more promising market to invest in. While significant autocorrelation observed in the returns points towards market inefficiency, the increased predictive power is better for investors.

Keywords: National stock exchange; Volatility clustering; Leverage effect; Heavy tails; Power law; 62P05; 91B80; 91B84; 62M10 (search for similar items in EconPapers)
JEL-codes: C55 C58 G15 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10690-019-09275-3

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