Download This PaperIs Nifty Going Up Too Quickly? The Case of the Indian Stock Bubble
7 Pages Posted: 26 Sep 2024
Date Written: September 23, 2024
Abstract
The Indian equity benchmark index, Nifty, hit a record high over twenty times in 2024. Using a new statistical methodology generated by Choi and Jarrow 2024, we investigate the presence of asset price bubbles in the Nifty 100 over two time periods: March 2022 - April 2023 and June 2023 - September 2024. We find no bubble in the first period and the probability of a price bubble more than 91% in the second period.
Keywords: Asset Price Bubbles, Local Martingale, Indian Stock Market, NIFTY 100 index
Suggested Citation: Suggested Citation
Jarrow, Robert A. and Choi, Soon Hyeok, Is Nifty Going Up Too Quickly? The Case of the Indian Stock Bubble (September 23, 2024). Available at SSRN: https://ssrn.com/abstract=4968535 or http://dx.doi.org/10.2139/ssrn.4968535
Robert A. Jarrow (Contact Author)
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Department of Finance
Ithaca, NY 14853
United States
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607-254-4590 (Fax)
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