Stock price changes generally fluctuate stochastically. The purpose of this paper is to investigate whether the stochastic fluctuations in the stock price changes are random or have some kind of dynamics in the context of Indian stock market using a recently developed method, a small shuffle surrogate method, on daily data of six indices of National Stock Exchange of India Ltd (S&P CNX Nifty, CNX 100, S&P CNX 500, CNX Nifty Junior, CNX Midcap, CNX Smallcap). The study of dynamics in irregular fluctuations of asset price changes has implications related to risk management, asset allocation and trading strategies. A small shuffle surrogate method does not depend on any specific data distribution. Our findings support the presence of dynamics in the stock price changes of S&P CNX 500, CNX Nifty Junior, CNX Midcap and CNX Smallcap. On the other hand, price changes in S&P CNX Nifty and CNX 100 exhibit random behaviour. To test the robustness of the results, we also compute the variance ratio of the stock price changes over different asset holding periods. The result from the variance ratio test also supports the findings of small-shuffle surrogate analysis for all indices.
Table of Contents
- Introduction
- Review of Literature/Theatrical Background of the Study
- Research Methodology and Research Hypothesis
- The Random walk Hypothesis
- Small-shuffle surrogate method
- Variance ratio test
- Data and computational details
- Empirical Results
- Limitation of the study and future research
Objectives and Key Themes
The study aims to investigate whether the stochastic fluctuations in the stock price changes of the Indian stock market are random or exhibit dynamics. It utilizes a small shuffle surrogate method to analyze daily data of six indices from the National Stock Exchange of India Ltd. The study focuses on the implications of the findings for risk management, asset allocation, and trading strategies.- Dynamics in stock price changes
- Market efficiency
- Small-shuffle surrogate method
- Variance ratio test
- Risk management, asset allocation, and trading strategies
Chapter Summaries
- Introduction: Introduces the study's purpose, focusing on the investigation of stochastic fluctuations in stock price changes within the Indian stock market.
- Review of Literature/Theatrical Background of the Study: Provides a comprehensive overview of existing literature and research related to the dynamics of stock price changes.
- Research Methodology and Research Hypothesis: Outlines the research methodology employed, including the small shuffle surrogate method and the variance ratio test, to analyze the data and test the hypothesis. This section also delves into the random walk hypothesis, which is a fundamental concept in the field of financial markets.
- Data and computational details: Describes the data used in the study, including sources, timeframe, and specific indices analyzed. It also explains the computational methods and tools employed for analyzing the data.
- Empirical Results: Presents the empirical findings of the study, analyzing the results obtained through the application of the research methods outlined in previous chapters.
- Limitation of the study and future research: Discusses limitations of the study and proposes avenues for future research, highlighting potential areas for further exploration and investigation.
Keywords
The study revolves around the concept of market efficiency, exploring the dynamics of irregular fluctuations in stock price changes using the small shuffle surrogate method. The research focuses on analyzing financial data, specifically daily data of six indices from the National Stock Exchange of India Ltd. The findings have implications for risk management, asset allocation, and trading strategies in the Indian stock market.- Arbeit zitieren
- Dilip Kumar (Autor:in), 2013, Testing the dynamics in the irregular fluctuations in the stock price changes of Indian stock market, München, GRIN Verlag, https://www.grin.com/document/262366
