Examining the impact of structural breaks on long memory of stock returns: evidence from Bombay stock exchange of India long memory / Anju Bala and Kapil Gupta

• المؤلفون الرئيسيون: Bala, Anju, Gupta, Kapil
• التنسيق: مقال
• اللغة: English
• منشور في: Accounting Research Institute (ARI), Universiti Teknologi MARA, Shah Alam 2020
• الموضوعات: Stock exchanges. Insider trading in securities
• الوصول للمادة أونلاين: https://ir.uitm.edu.my/id/eprint/31037/1/31037.pdf; https://ir.uitm.edu.my/id/eprint/31037/; https://mar.uitm.edu.my/

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...