Scale-Dependent Price Fluctuations for the Indian Stock Market

7 Pages Posted: 13 Sep 2011 Last revised: 8 Aug 2017

See all articles by Kaushik Matia

Kaushik Matia

Boston University - Department of Physics

Mukul Pal

AlphaBlock

H. Eugene Stanley

Boston University - Center for Polymer Studies

H. Salunkay

Online Derivatives

Date Written: August 1, 2003

Abstract

Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power-law probability density function P(g) ∼ g−( 1) with exponent values > 2, which are outside the L´evy-stable regime 0 < < 2. To test the universality of this relationship for less highly developed economies, we analyze daily returns for the period Nov. 1994—June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest volume of trade in India. We find that P(g) decays as an exponential function P(g) ∼ exp(− g) with a characteristic decay scales = 1.51 ± 0.05 for the negative tail and = 1.34 ± 0.04 for the positive tail, which is significantly different from that observed for developed economies. Thus we conclude that the Indian stock market may belong to a universality class that differs from those of developed countries analyzed previously.

Keywords: Price Distribution

Suggested Citation

Matia, Kaushik and Pal, Mukul and Stanley, H. Eugene and Salunkay, H., Scale-Dependent Price Fluctuations for the Indian Stock Market (August 1, 2003). Available at SSRN: https://ssrn.com/abstract=1926436 or http://dx.doi.org/10.2139/ssrn.1926436

Kaushik Matia (Contact Author)

Boston University - Department of Physics ( email )

590 Commonwealth Avenue
Boston, MA 02215
United States

Mukul Pal

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

H. Eugene Stanley

Boston University - Center for Polymer Studies ( email )

Boston, MA 02215
United States

H. Salunkay

Online Derivatives

607 Reena Complex
Vidya Vihar (West)
Mumbai, 400086
India

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