Market persistence amidst financial crisis: an Indian investigation
This study examines persistence behavior of the Indian Stock Market during financial crises over the past decade (2012–2022). The investigation period encompasses significant events such as economic depression of 2013, demonetization and implementation of the Goods and Services Tax (2016–2017), the...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2025-12-01
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| Series: | Cogent Economics & Finance |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2024.2437007 |
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| Summary: | This study examines persistence behavior of the Indian Stock Market during financial crises over the past decade (2012–2022). The investigation period encompasses significant events such as economic depression of 2013, demonetization and implementation of the Goods and Services Tax (2016–2017), the US-China Trade War (2018), and the COVID-19 pandemic (2021–2022). This study focuses on the dynamic persistence of various stocks by measuring the Hurst Exponent (HE) using the sliding window method and identifying herding patterns in the financial market. The technique is novel because it explains the time-varying degree of persistence during financial crises, anticipating future trends in the financial returns. The results classify stocks as either mean-reverting or trending. Moreover, the study also compares persistence for shorter and longer time windows, where the presence of higher persistence is observed as the window size is reduced. Furthermore, the majority of the stocks show high persistence in all crisis periods, with the highest value of HE during the economic downturn (2012–2014) and the post-COVID-19 era (2021–2022). Financial advisors can refer to HE values, assisting the investors with decisions such as ‘buy’, ‘sell’ or ‘hold’. Furthermore, a higher HE value can become an early warning signal for impending market stress in the form of bubbles or bursts. |
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| ISSN: | 2332-2039 |