Open AccessExamining the Impact of Structural Breaks on Long Memory of Stock Returns: Evidence from Bombay Stock Exchange of India Long Memory
Author(s) -
Anju Bala
Publication year - 2020
Publication title -
management and accounting review/management and accounting review
Language(s) - English
Resource type - Journals
eISSN - 2600-7975
pISSN - 2550-1895
DOI - 10.24191/mar.v19i01-01
Subject(s) - hurst exponent , long memory , rescaled range , stock exchange , stock (firearms) , econometrics , economics , stock market , financial economics , mathematics , statistics , detrended fluctuation analysis , geography , finance , volatility (finance) , context (archaeology) , geometry , archaeology , scaling
This study examines the presence of long memory of Stock Returns in India with reference to structural breaks. The study used the Hurst Exponent in Rescaled Range Analysis as proposed by Lo (1991) to measure the presence of long memory on daily stock returns of the Bombay Stock Exchange Indices from January 2000 to December 2017. The analysis indicates that all indices show long memory effects. It is also evident that all indices exhibit long memory effect in the pre and post subprime crisis period. These findings are consistent with Bhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004). KEYWORDS: Long Memory, Hurst exponent, Market Efficiency. Structural Breaks