Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data

Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data PDF Author: Dilip Kumar
Publisher: diplom.de
ISBN: 3954897458
Category : Business & Economics
Languages : en
Pages : 99

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Book Description
This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.

Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data

Long Memory in the Volatility of Indian Financial Market: An Empirical Analysis Based on Indian Data PDF Author: Dilip Kumar
Publisher: diplom.de
ISBN: 3954897458
Category : Business & Economics
Languages : en
Pages : 99

Get Book Here

Book Description
This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by ist lagged price changes and has no memory.

Indian Stock Market

Indian Stock Market PDF Author: Gourishankar S. Hiremath
Publisher: Springer Science & Business Media
ISBN: 8132215907
Category : Business & Economics
Languages : en
Pages : 135

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Book Description
India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.

Long Memory in the Volatility of Indian Financial Market

Long Memory in the Volatility of Indian Financial Market PDF Author: Dilip Kumar
Publisher:
ISBN: 9783656603603
Category :
Languages : en
Pages : 116

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Book Description
Professorial Dissertation from the year 2014 in the subject Business economics - Investment and Finance, grade: A, language: English, abstract: This book examines the long memory characteristics in the volatility of the Indian stock market, the Indian exchange rates and the Indian banking sector. This book also reviews the chain of approaches to estimate the long memory parameter. The long memory characteristics of the financial time series are widely studied and have implications for various economics and finance theories. The most important financial implication is related to the violation of the weak-form of market efficiency which encourages the traders, investors and portfolio managers to develop models for making predictions and to construct and implement speculative trading and investment strategies. In an efficient market, the price of an asset should follow a random walk process in which the price change is unaffected by its lagged price changes and has no memory.

Forecasting Financial Markets in India

Forecasting Financial Markets in India PDF Author: Rudra Prakash Pradhan
Publisher: Allied Publishers
ISBN: 9788184244267
Category : Finance, Personal
Languages : en
Pages : 224

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Book Description
Papers presented at the Forecasting Financial Markets in India, held at Kharagpur during 29-31 December 2008.

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India

A Study On Volatility And Co-Movement Of Selected Sectoral Indices Of National Stock Exchange Of India PDF Author: Dr GangineniDhanaiah
Publisher: Archers & Elevators Publishing House
ISBN: 9386501899
Category : Antiques & Collectibles
Languages : en
Pages :

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Book Description


Development and Sustainability

Development and Sustainability PDF Author: Sarmila Banerjee
Publisher: Springer Science & Business Media
ISBN: 8132211243
Category : Business & Economics
Languages : en
Pages : 622

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Book Description
Following the reforms undertaken in the last two decades, India’s economic landscape has been radically transformed. This book examines the new economic map, which is shown to be shaped by two intertwined currents: globalization and sustainability. Weaving extensively through these currents and the canvas of development in the Indian economy they open up, this work seeks to introduce new methodologies, a corpus of concepts and modes of analysis to make sense of the emerging order of things. What transpires in the course of the investigation is a critical reflection of the present in which not only the new institutions, policies and practices are analyzed, but their limitations, fragility and at times myopic approaches are brought to light. By highlighting the rough edges created by the new conditions, this book is firmly engaged with the frontier of the Indian economy and ends up challenging many well-known conjectures and assumptions. In doing so, it strives to shift the Indian economy to a new terrain, thereby fundamentally re-locating and re-orienting the discourse of that economy as a unique object of analysis.

Economic and Political Weekly

Economic and Political Weekly PDF Author:
Publisher:
ISBN:
Category : India
Languages : en
Pages : 792

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Book Description


Advances in Machine Learning and Computational Intelligence

Advances in Machine Learning and Computational Intelligence PDF Author: Srikanta Patnaik
Publisher: Springer Nature
ISBN: 9811552436
Category : Technology & Engineering
Languages : en
Pages : 853

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Book Description
This book gathers selected high-quality papers presented at the International Conference on Machine Learning and Computational Intelligence (ICMLCI-2019), jointly organized by Kunming University of Science and Technology and the Interscience Research Network, Bhubaneswar, India, from April 6 to 7, 2019. Addressing virtually all aspects of intelligent systems, soft computing and machine learning, the topics covered include: prediction; data mining; information retrieval; game playing; robotics; learning methods; pattern visualization; automated knowledge acquisition; fuzzy, stochastic and probabilistic computing; neural computing; big data; social networks and applications of soft computing in various areas.

Portfolio Flows Into India

Portfolio Flows Into India PDF Author: Mr.James P. F. Gordon
Publisher: International Monetary Fund
ISBN: 1451843860
Category : Business & Economics
Languages : en
Pages : 39

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Book Description
This paper analyzes the factors affecting portfolio equity flows into India using monthly data. Flows to India are small compared to other emerging markets, but seem to be relatively less volatile. They also seem to be quite resilient. The paper shows that portfolio flows are determined by both external and domestic factors. Among external factors, LIBOR and emerging market stock returns are important, while the primary domestic determinants are the lagged stock return and changes in credit ratings. In quantitative terms, both external and domestic factors are found to be about equally important.

Dissertation Abstracts International

Dissertation Abstracts International PDF Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 618

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Book Description