3 research outputs found
Scale-Dependent Price Fluctuations for the Indian Stock Market
Classic studies of the probability density of price fluctuations for
stocks and foreign exchanges of several highly developed economies have been
interpreted using a {\it power-law} probability density function with exponent values , which are outside the
L\'evy-stable regime . To test the universality of this
relationship for less highly developed economies, we analyze daily returns for
the period Nov. 1994--June 2002 for the 49 largest stocks of the National Stock
Exchange which has the highest volume of trade in India. We find that
decays as an {\it exponential} function with a
characteristic decay scales for the negative tail and
for the positive tail, which is significantly different
from that observed for developed economies. Thus we conclude that the Indian
stock market may belong to a universality class that differs from those of
developed countries analyzed previously.Comment: 7 pages, 8 figure