Scale-dependent price fluctuations for the Indian stock market

K. Matia; M. Pal; H. Salunkay; H. E. Stanley

doi:10.1209/epl/i2003-10267-y

All issues

Volume 66 / No 6 (June 2004)

Europhys. Lett., 66 6 (2004) 909-914

Abstract

Issue		Europhys. Lett. Volume 66, Number 6, June 2004


Page(s)		909 - 914
Section		Interdisciplinary physics and related areas of science and technology
DOI		https://doi.org/10.1209/epl/i2003-10267-y
Published online		01 June 2004

Europhys. Lett., 66 (6), pp. 909-914 (2004)

Scale-dependent price fluctuations for the Indian stock market

K. Matia¹, M. Pal², H. Salunkay³ and H. E. Stanley¹

¹ Center for Polymer Studies and Department of Physics, Boston University Boston, MA 02215, USA
² BSE Training Institute, The Stock Exchange Mumbai P J Towers - Mumbai, India
³ Online Derivatives - 607 Reena Complex, Vidya Vihar (West) Mumbai 400086, India

Received: 12 November 2003
Accepted: 19 April 2004

Abstract

Classic studies of the probability density of price fluctuations g for stocks and foreign exchanges of several highly developed economies have been interpreted using a power law probability density function $P(g)\sim g^{-(\alpha+1)}$ with exponent values $\alpha>2$ . To test the ubiquity of this relationship we analyze daily returns for the period November 1994–June 2002 for the 49 largest stocks of the National Stock Exchange which has the highest trade volume in India. We find the surprising result that $P(g)$ decays as an exponential function $P(g)\sim\exp[-\beta g]$ with a characteristic decay scale $\beta=1.51\pm 0.05$ for the negative tail and $\beta=1.34 \pm 0.04$ for the positive tail. The exponential function is significantly different from the power law function observed for highly developed economies. Thus, we conclude that the stock market of the less highly developed economy of India belongs to a different class from that of highly developed countries.

PACS: 89.90.+n – Other topics in areas of applied and interdisciplinary physics (restricted to new topics in section 89) / 05.45.Tp – Time series analysis / 05.40.Fb – Random walks and Levy flights

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