000			01390pab a2200205 454500
008			140923b0 xxu||||| |||| 00| 0 eng d
040			_cWelingkar Institute of Management Development & Research, Mumbai _aWelingkar Institute of Management Development & Research, Mumbai
041			_aENG
082			_a _bBad
100			_aBadhani K N
245			_aLong Memory in Stock Returns and Volatility in India : A Nonparametric Analysis
250			_a12
260			_a _bDec 2008 _c0
300			_a34-53 Pp.
490			_v14
520			_aThis paper tests the long memory in daily aggregate returns on S&P CNX Nifty index and its volatility using Rescaled Range (R/S)-type nonparametric tests. The results do not show long memory in returns, but their squared and absolute values (which represent the volatility) show robust presence of long-range dependence in the data for the entire sample period. However, in a subsample covering the period from March 2001 to December 2007, the volatility measures do not show long memory. Since the tests of long memory cannot differentiate between fractional integration and structural breaks, absence of long memory in a subsample appears more consistent with the hypothesis of structural breaks in volatility dynamics.
650			_aLong Memory, Stock Returns
856			_uhttp://192.168.6.13/libsuite/mm_files/Articles/AR10166.pdf
906			_a29482
999			_c30016 _d30016