A Complex Dynamical Analysis of the Indian Stock Market | Zendy

Anoop Kumar | Zendy; Bandi Kamaiah | Zendy

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A Complex Dynamical Analysis of the Indian Stock Market

Author(s) -

Anoop Kumar,

Bandi Kamaiah

Publication year - 2014

Publication title -

economics research international

Language(s) - English

Resource type - Journals

eISSN - 2090-2123

pISSN - 2090-2131

DOI - 10.1155/2014/807580

Subject(s) - stock market , equity (law) , recurrence quantification analysis , economics , determinism , time series , chaotic , financial economics , econometrics , mathematics , statistics , history , philosophy , physics , political science , management , context (archaeology) , archaeology , epistemology , nonlinear system , quantum mechanics , law

This paper seeks to analyze the dynamical structure of the Indian stock market by considering two major Indian stock market indices, namely, BSE Sensex and CNX Nifty. The recurrence quantification analysis (RQA) is applied on the daily closing data of the two series during the period from January 2, 2002, to October 10, 2013. A Rolling Window of 100 and step size 21 are applied in order to see how both the series behave over time. The analysis based on three RQA measures, namely, % determinism (DET), laminarity (LAM), and trapping time (TT), provides conclusive evidence that the Indian equity market is chaotic in nature. Evidences for phase transition in the Indian equity market around the time of financial crisis are also found

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