TITLE:
Testing the Long-Memory Features in Return and Volatility of NSE Index
AUTHORS:
Naseem Ahamed, Mamoni Kalita, Aviral Kumar Tiwari
KEYWORDS:
NSE Index, Volatility, Long-Memory, Stock Market
JOURNAL NAME:
Theoretical Economics Letters,
Vol.5 No.3,
June
29,
2015
ABSTRACT: Long-term memory of stock markets is a topic that
has not received its due attention from academics. Posting the assertion made
by Fama, 1970 [1] about markets being efficient, no one can consistently outrun
it for a longer duration. Handful of papers checked the efficiency in emerging markets
to see if the efficiency proposition held true. Furthering the literature in
this study we test for the long-term memory of National Stock Exchange (NSE)
index, Nifty and NSE_500 which are a collection of 50 and 500 listed firms
respectively in India. The duration of the data for study is roughly eight
years over the period from 2006-06-29 to 2012-09-13, a total of 1545 observations.
We observe that long-term memory does exist in the context of Indian stock
market index.