Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power-law probability density function P (g) ∼ g −(α+1) with exponent values α > 2, which are outside the Lévy-stable regime 0 < α < 2. To test the universality of this relationship for less highly developed economies, we analyze daily returns for the period Nov. 1994-June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest volume of trade in India. We find that P (g) decays as an exponential function P (g) ∼ exp(−βg) with a characteristic decay scales β = 1.51 ± 0.05 for the negative tail and β = 1.34 ± 0.04 for the positive tail, which is significantly different from that observed for developed economies. Thus we conclude that the Indian stock market may belong to a universality class that differs from those of developed countries analyzed previously.
Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power-law probability density function P (g) ∼ g −(α+1) with exponent values α > 2, which are outside the Lévy-stable regime 0 < α < 2. To test the universality of this relationship for less highly developed economies, we analyze daily returns for the period Nov. 1994-June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest volume of trade in India. We find that P (g) decays as an exponential function P (g) ∼ exp(−βg) with a characteristic decay scales β = 1.51 ± 0.05 for the negative tail and β = 1.34 ± 0.04 for the positive tail, which is significantly different from that observed for developed economies. Thus we conclude that the Indian stock market may belong to a universality class that differs from those of developed countries analyzed previously.
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