| SMART JOURNAL OF BUSINESS MANAGEMENT STUDIES |
VOL. 10 |
NO. 2 |
PAPER 8 |
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FRACTAL ANALYSIS AND LONG RANGE DEPENDENCE IN S & P CNX NIFTY RETURNS
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| Gayathri Mahalingam* and Mariappan Raja**
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| * Ph.D Research Scholar in Management, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli, Tamil Nadu, India
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| ** Faculty of Commerce, Bharathidasan University Constituent College, Lalgudi, Tamil Nadu, India
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| Fractal Analysis is an instrument that studies the repeating patterns of price over long periods of time that are created by a common driver of price that can be isolated. In assessing the fractal dimension of index returns, the retail investors, with recent innovation in financial prediction and computational power, can make use of these price movements in the stock market. The long memory describes the higher order correlation structure of a time series. The S&P CNX Nifty is a well diversified, fifty stock index, accounting for twenty two sectors of the economy. It is used for benchmarking fund portfolios, index based derivatives and index funds. The aim of this paper is to investigate the existence of long range dependence and fractal structure in the S&P CNX Nifty returns, using Rescaled Range Analysis over the period of 20 years from April 1994 to March 2014. The study found no long range dependence in the stock market. |
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