Persistence In The Indian Stock Market Returns: An Application Of Variance Ratio Test

Abstract

Participants in the Indian Stock Market range from "tick traders" with very short investment horizons to "long-term investors" who hold positions for several years or more. Each participant in the market makes deals at the same moment, despite the fact that they each have different time horizons for their investments. The research finds evidence of long memory in the returns that were generated from the data received from the Indian Bombay Stock Exchange. The Fractal Market Hypothesis, sometimes referred to as FMH for short, is an investigation into the ways in which chaos theory and fractals could be applicable to the field of finance. The idea that investors do not always respond instantly to fresh information is at the heart of the fractal model. This is the fundamental premise that underpins the model. Instead, it's possible that investors will reply slowly the vast majority of the time. The standard combination of statistical methods that is used to the task of finding predictable market structure is able to recognize regular periodic cycles. One of the advantages of making use of these strategies is the capacity to do so. The stock market in India is known for its dogged determination, which is one of its defining characteristics.