期刊名称：International Journal of Management and Business Studies
印刷版ISSN：2231-2463
电子版ISSN：2230-9519
出版年度：2012
卷号：2
期号：4
出版社：Cosmic Journals
摘要：The Indian Stock Market is made up of participants from tick traders to long-term investors. Each participant having different investment horizons trade simultaneously in the market. This paper finds evidences of long memory in the returns from the data collected from Indian Bombay Stock Exchange. Fractal Market Hypothesis (FMH) explores the application of chaos theory and fractals to finance. The main idea of the fractal model is that the investors may not directly react to information. Instead, the investors may normally react with delay. The standard complement of statistical techniques used to identify predictable market structure, is capable of identifying regular periodic cycles. The Indian stock market has a high degree of persistence.
关键词：Persistent; Long Range; Dependence; Rescaled Range Analysis;Hurst Exponent; Non-Periodic cycles; Bombay Stock Exchange
