The Power (Law) of Indian Markets: Analysing NSE and BSE Trading Statistics View Full Text


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Chapter Info

DATE

2006

AUTHORS

Sitabhra Sinha , Raj Kumar Pan

ABSTRACT

The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India. We find that the price returns in Indian markets follow a fat-tailed cumulative distribution, consistent with a power law having exponent α ∼ 3, similar to that observed in developed markets. However, the distributions of trading volume and the number of trades have a different nature than that seen in the New York Stock Exchange (NYSE). Further, the price movement of different stocks are highly correlated in Indian markets. More... »

PAGES

24-34

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-88-470-0502-0_3

DOI

http://dx.doi.org/10.1007/978-88-470-0502-0_3

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1002025981


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