Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis

Suchetana Sadhukhan and Poulomi Sadhukhan

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Abstract: This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($ 200$ days) for investment. We infer that long-term investment will be more profitable. For long time scale, sectors can be separated into two categories based on the Hurst exponent values; one corresponds to stable sectors with small fluctuations, and the other with dominance of large fluctuations leading to possible downturns in those sectors.

Date: 2022-10
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