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

Rupel Nargunam () and Ananya Lahiri ()
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Rupel Nargunam: Madras School of Economics
Ananya Lahiri: Indian Institute of Technology Tirupati

Digital Finance, 2022, vol. 4, issue 4, No 6, 374 pages

Abstract: 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.

Keywords: Multifractal; Long-range dependence; Hurst surface; Persistence; Indian stock returns (search for similar items in EconPapers)
JEL-codes: C12 C58 G14 G19 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s42521-022-00066-6

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