EXAMINING THE IMPACT OF STRUCTURAL BREAKS ON LONG MEMORY OF STOCK RETURNS: EVIDENCE FROM BOMBAY STOCK EXCHANGE OF INDIA

  • Anju Bala Department of Management, I.K Gujral Punjab Technical University, India
  • Kapil Gupta Department of Management, I.K.Gujral Punjab Technical University, India

Abstract

Present study examines the presence of long memory of Stock Returns in India with reference to structural breaks.The study has 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 Bombay Stock Exchange Indices from January, 2000 to December,2017. Analysis for the full sample period indicates that all indices show a long memory effects. It is also evident that all indices exhibit long memory effect in preand post subprime crisis period. These findings are consistent withBhattacharya and Bhattacharya (2018), Jha et al.(2018), Goudarzi (2010) and Lillo and Farmer (2004).
Published
Apr 30, 2020
How to Cite
BALA, Anju; GUPTA, Kapil. EXAMINING THE IMPACT OF STRUCTURAL BREAKS ON LONG MEMORY OF STOCK RETURNS: EVIDENCE FROM BOMBAY STOCK EXCHANGE OF INDIA. Management & Accounting Review (MAR), [S.l.], v. 19, n. 1, p. 1-20, apr. 2020. ISSN 2550-1895. Available at: <http://arionline.uitm.edu.my/ojs/index.php/MAR/article/view/970>. Date accessed: 05 june 2020. doi: http://dx.doi.org/10.24191/mar.v19i1.970.