Stylized facts of the Indian stock market
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Publication:2011044
DOI10.1007/S10690-019-09275-3zbMATH Open1425.91451arXiv1903.05322OpenAlexW3122581542MaRDI QIDQ2011044FDOQ2011044
Authors: Rituparna Sen, Manavathi Subramaniam 
Publication date: 28 November 2019
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Abstract: Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significant deviations in three main aspects, namely leverage, asymmetry and autocorrelation. Leverage and asymmetry are both reversed making this a more promising market to invest in. While significant autocorrelation observed in the returns points towards market inefficiency, the increased predictive power is better for investors.
Full work available at URL: https://arxiv.org/abs/1903.05322
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