• Amitava Sarkar


Presence of volatility is often regarded as a ‘barometer’ of stock market vulnerability. Stock prices characterized by excessive volatility lack its usefulness as a ‘signal’ about the true intrinsic value of a firm there by reducing the informational efficiency of the market. Presence of irrational exuberance, herd behaviour and speculation in a market with excessive volatility might make the situation worse by reducing efficiency further. Further, these changes in stock market question the functional stability of the Indian stock market. A complex system is generally non-linear in nature and is often known to have deterministic chaos as an inherent property. If we discern that the series is deterministic in nature, this will perfectly explain the hitherto inherent instability of the series, which can be attributed to endogenous fluctuations. Obviously there will be immense policy implications. This may be pursued as an area for further future research as a sequel to this study.


Stock Market Stock Price Fractional Brownian Motion Deterministic Chaos Traditional Sector 
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© Springer India Pvt. Ltd. 2012

Authors and Affiliations

  • Amitava Sarkar
    • 1
  1. 1.School of Management & SciencesWest Bengal University of TechnologySalt Lake KolkataIndia

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