A Complex Dynamical Analysis of the Indian Stock Market. (14th December 2014)

• Record Type: Journal Article
• Authors: Sasikumar, Anoop; Kamaiah, Bandi
• Other Names: Gardini Laura Academic Editor.
• Is Part Of: Economics research international. Volume 2014(2014)
• Publication Date: 2014-12-14
• Subjects: Economics -- Periodicals; Economics; Periodicals; Electronic journals; 330.05
• DOI: 10.1155/2014/807580
• Languages: English
• ISSNs: 2090-2840

Abstract

Abstract : This paper seeks to analyze the dynamical structure of the Indian stock market by considering two major Indian stock market indices, namely, BSE Sensex and CNX Nifty. The recurrence quantification analysis (RQA) is applied on the daily closing data of the two series during the period from January 2, 2002, to October 10, 2013. A Rolling Window of 100 and step size 21 are applied in order to see how both the series behave over time. The analysis based on three RQA measures, namely, % determinism (DET), laminarity (LAM), and trapping time (TT), provides conclusive evidence that the Indian equity market is chaotic in nature. Evidences for phase transition in the Indian equity market around the time of financial crisis are also found.