Did Demonetization Affect Indian Stock Market?

Stock Market Seasonality: A Study of the Indian Stock Market

1.0 Introduction Seasonal variations in production and sales are a well known fact in business. Seasonality refers to regular and repetitive fluctuation in a time series which occurs periodically over a span of less than a year. The main cause of seasonal variations in time series data is the change in climate. For example, sales of woolen clothes generally increase in winter season. Besides th...

Intraday Liquidity Patterns in Indian Stock Market

This paper attempts to study the liquidity patterns and to detect any commonality across liquidity measures, using one year intraday data from India's National Stock Exchange (NSE). Using the data on 20 stocks from NSE's NIFTY Index, we found that most of the volume and spread related liquidity measures exhibit an intra-day U-shaped pattern, similar to those found for a market consisting of mar...

Exploring relation between Indian market sentiments and stock market returns

Visualizing the Indian Stock Market: a Complex Networks Approach

This paper analyses the top-level structure of the Bombay Stock Exchange using a complex networks framework. The market is visualized as a network, consisting of stock prices as its nodes, and their dynamic interactions being reflected in the edges. The edges used here, signify cross-correlations between any two stocks and take into account the time-lagged interdependence on each other. By proc...

Volatility of an Indian stock market : A random matrix approach

We examine volatility of an Indian stock market in terms of aspects like participation, synchronization of stocks and quantification of volatility using the random matrix approach. Volatility pattern of the market is found using the BSE index for the three-year period 2000-2002. Random matrix analysis is carried out using daily returns of 70 stocks for several time windows of 85 days in 2001 to...