Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta.

Bala, Anju and Gupta, Kapil (2020) Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta. Management & Accounting Review (MAR), 19 (1). pp. 1-20. ISSN 2550-1895

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Abstract

This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004).

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Item Type: Article
Creators:
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Bala, Anju
UNSPECIFIED
Gupta, Kapil
UNSPECIFIED
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Divisions: Universiti Teknologi MARA, Shah Alam > Accounting Research Institute (ARI)
Journal or Publication Title: Management & Accounting Review (MAR)
UiTM Journal Collections: UiTM Journal > Management & Accounting Review (MAR)
ISSN: 2550-1895
Volume: 19
Number: 1
Page Range: pp. 1-20
Item ID: 31037
Uncontrolled Keywords: Long memory, Hurst exponent, Market efficiency
URI: https://ir.uitm.edu.my/id/eprint/31037

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31037

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