Stylized facts of the Indian Stock Market
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2019
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866909211766554624 |
|---|---|
| author | Sen, Rituparna S, Manavthi |
| author_facet | Sen, Rituparna S, Manavthi |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1903_05322 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Stylized facts of the Indian Stock Market Sen, Rituparna S, Manavthi Statistical Finance 62P05, 91B80, 91B84, 62M10 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. |
| title | Stylized facts of the Indian Stock Market |
| topic | Statistical Finance 62P05, 91B80, 91B84, 62M10 |
| url | https://arxiv.org/abs/1903.05322 |