Examining the Long Memory in Stock Returns and Liquidity in India

Abstract

The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty

The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

“…To sum up, although a variety of studies had already examined persistence in stock prices and bond yields using fractional integration techniques (see, e.g., Caporale et al, 2020Caporale et al 2022; Adekoya, 2021 ; Bala and Gupta, 2021 ), hardly any had considered the most recent period including the Covid-19 pandemic and examined whether its outbreak coincided with a change in persistence ( Štifanić et al, 2020 being one of the few exceptions, though providing relatively limited evidence for stock prices only using wavelet and network methods) – this is instead the focus of our analysis which, as explained above, produces the interesting result that the pandemic has had a significant impact on the stochastic behaviour of bond yields but not of stock prices.…”

“…They showed the importance of specifying correctly the autocorrelation structure and found evidence of nonlinear behaviour in the persistence of the series, especially in Belgium, Japan and Hungary, whose markets appear to have become less efficient over time. Bala and Gupta (2021) examined the long memory properties of stock liquidity and returns in the Indian equity market using data from January 1997 to December 2019 and found evidence of time-varying degree of persistence in the series of interest; moreover, the liquidity series for the Nifty-100, Nifty-200 and Nifty MidCap-50 exhibit long memory.…”

Relativity of Indian Stock Market With Exchange Rate, Gold and Crude Oil

“…The integration of stock prices and exchange rates were examined and found co-integration and bidirectional relationship among stock price and exchange rates in Asia by Fauziah, Moeljadi and Ratnawati (2015). The presences of long memory in stock liquidity and returns of Indian equity market were examined by Bala and Gupta (2020) from the Indian context and confirmed presence of long memory in returns of all indices. Bidias-Menik and Tonmo (2020) tested predictive power of the implied forward rate of the term structure of interest rates at Africa.…”