Measuring Efficiency of the Indian Asset Market with Tick Data and Hurst Exponent

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dc.contributor.authorSarkar, Joy
dc.contributor.authorPaul, Raju
dc.contributor.authorLahiri, Abhijit
dc.date.accessioned2026-08-25T06:55:03Z
dc.date.issued2026-03
dc.description.abstractThis 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.
dc.identifier.issn2321-0370
dc.identifier.urihttps://ir.nbu.ac.in/handle/123456789/5902
dc.language.isoen
dc.publisherUniversity of North Bengal
dc.subjectTick data
dc.subjectHurst Exponent
dc.subjectEHM
dc.titleMeasuring Efficiency of the Indian Asset Market with Tick Data and Hurst Exponent
dc.title.alternativeAnweshan - journal of Department of Commerce, Vol. 12, No. 1, March 2026, pp. 16 - 22
dc.typeArticle
periodical.editorDhar, Samirendra Nath
periodical.issueNumber1
periodical.nameAnweshan - journal of Department of Commerce
periodical.pageEnd22
periodical.pageStart16
periodical.volumeNumber12

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Anweshan - journal of Department of Commerce, Vol. 12, No. 01