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Stylized Facts of the Indian Stock Market

  • Rituparna SenEmail author
  • Manavathi Subramaniam
Article
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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 

JEL Classification

C58 G15 C55 

Mathematics Subject Classification

62P05 91B80 91B84 62M10 

Notes

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Copyright information

© Springer Japan KK, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Indian Statistical InstituteChennaiIndia
  2. 2.PSG College of TechnologyCoimbatoreIndia

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