英文标题：
《Stylized facts of the Indian Stock Market》
---
作者：
Rituparna Sen and Manavthi S
---
最新提交年份：
2019
---
英文摘要：
  Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significant deviations in three main aspects, namely leverage, asymmetry and autocorrelation. Leverage and asymmetry are both reversed making this a more promising market to invest in. While significant autocorrelation observed in the returns points towards market inefficiency, the increased predictive power is better for investors.
---
中文摘要：
分析了十一年来在国家证券交易所交易的50只漂亮指数成分股的历史每日数据，以检查印度市场的典型事实。据观察，虽然在印度市场也观察到了其他市场的一些程式化事实，但在三个主要方面，即杠杆率、不对称性和自相关方面存在显著偏差。杠杆和不对称都被逆转了，这使得这是一个更具投资前景的市场。虽然在收益率中观察到的显著自相关表明市场效率低下，但增加的预测能力对投资者来说更好。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--

---
PDF下载：
-->