Long Memory in Stock Market Volatility: Indian Evidences

Examining the Long Memory in Stock Returns and Liquidity in India

“…Furthermore, Nifty 100 displays persistence behavior in 2009, 2010, 2014, 2015, 2016, 2017 shows long memory in 2011, 2014, and 2018. This indicates possibility of predictable component of past liquidity (Huang & Yang, 1999) and (Hiremath & Kamaiah, 2010). Nifty-500 exhibits persistence behavior in 2001and 2010and Nifty Next -50 advocate's long memory in 1998, 2001, 2014, 2015, 2016, and 2017…”

“…Furthermore, Hiremath and Kamaiah (2010) and Badhani (2012) found that high volatility, anomalous behavior and market trend are the characteristics of developing economies, which affirms that due to presence of market imperfections, long memory behavior might arise in the developing markets.…”

“…There is trend to either understate or overstate the effect of such information in stock prices (Barkoulas & Baum, 1996). If returns series demonstrate the presence of persistence behavior, previous returns can be utilized to estimate the upcoming returns (Hiremath & Kamaiah, 2010). Therefore, presence of long memory property provides support for framing portfolio strategy, which may also help to generate abnormal profits from the financial investment (Cevik & Emec, 2013).…”

Modeling Long Range Dependence in Wheat Food Price Returns

“…Volatility forecasting in direction and magnitude is essential for traders in pricing the option premiums. Increased volatility in market returns typically is considered as a sign of susceptibility of markets and the overall economy in general to macro events (Hiremath & Kamaiah, 2010). Higher grain price volatilities increase the food import bills of low-income countries, thereby putting pressure on their balance of payments (FAO, 2011).…”

“…The present literature on long memory can be found in various areas including stock market returns (Andersen et al, 2003;Caporale, Gil-Alana, & Plastun, 2017;Christensen et al, 2007;Hiremath & Kamaiah, 2010;Onour, 2010); currency exchange returns (Andersen & Bollerslev, 1997;Jayasinghe et al, 2014); real estate market returns (Wilson & Okunev, 1999;Stevenson, 2002) and futures market returns (Barkoulas et al, 1997;Kang et al, 2009), whereas limited work has been done in the area of agricultural commodities (Hyun-Joung, 2008;Mann et al, 2012). One of the primary motivations for this study is to better understand recent increases in world food price volatilities, especially wheat.…”