Measuring Efficiency of the Indian Asset Market with Tick Data and Hurst Exponent
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Article
Date
Journal Title
Anweshan - journal of Department of Commerce
Journal Editor
Dhar, Samirendra Nath
Journal ISSN
Volume Title
Publisher
University of North Bengal
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Abstract
This paper explores the long-range memory dependency in the Indian asset market. The data for 1-minute, 15-minute, and 60-minute closing prices of the Nifty 50 index have been used for the year 2025. The Rescaled Range Analysis of the Hurst Exponent have been employed. The analysis reveals the presence of a wacky behaviour in the Indian asset market. The study found that the Indian market is informationally efficient in the study period.
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Edition
Volume
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Volume Number
12
Issue Number
1
ISSN No
2321-0370
eISSN No
Pages
Pages
16 - 22