Name: Testing the Dynamics in the Irregular Fluctuations in the Stock Price Changes of Indian Stock Market (en Inglés)
SKU: 62843269
Price: 93572.00 COP
Availability: InStock
Author: Dilip Kumar
ISBN: 9783656514596

portada Testing the Dynamics in the Irregular Fluctuations in the Stock Price Changes of Indian Stock Market (en Inglés)

Testing the Dynamics in the Irregular Fluctuations in the Stock Price Changes of Indian Stock Market (en Inglés)

Formato

Libro Físico

Editorial

Grin Verlag

Autor

Dilip Kumar

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

ISBN13

9783656514596

Testing the Dynamics in the Irregular Fluctuations in the Stock Price Changes of Indian Stock Market (en Inglés)

Dilip Kumar (Autor) · Grin Verlag · Tapa Blanda

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Reseña del libro "Testing the Dynamics in the Irregular Fluctuations in the Stock Price Changes of Indian Stock Market (en Inglés)"

Research Paper (postgraduate) from the year 2013 in the subject Economics - Finance, grade: 8, language: English, abstract: Stock price changes generally fluctuate stochastically. The purpose of this paper is to investigate whether the stochastic fluctuations in the stock price changes are random or have some kind of dynamics in the context of Indian stock market using a recently developed method, a small shuffle surrogate method, on daily data of six indices of National Stock Exchange of India Ltd (S&P CNX Nifty, CNX 100, S&P CNX 500, CNX Nifty Junior, CNX Midcap, CNX Smallcap). The study of dynamics in irregular fluctuations of asset price changes has implications related to risk management, asset allocation and trading strategies. A small shuffle surrogate method does not depend on any specific data distribution. Our findings support the presence of dynamics in the stock price changes of S&P CNX 500, CNX Nifty Junior, CNX Midcap and CNX Smallcap. On the other hand, price changes in S&P CNX Nifty and CNX 100 exhibit random behaviour. To test the robustness of the results, we also compute the variance ratio of the stock price changes over different asset holding periods. The result from the variance ratio test also supports the findings of small-shuffle surrogate analysis for all indices.