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arXiv · 2210.09619

Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis

Suchetana Sadhukhan·Poulomi Sadhukhan
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Abstract

This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($<200$ days) and long time-scale ($>200$ days) for investment. We infer that long-term investment will be more profitable. For long time scale, sectors can be separated into two categories based on the Hurst exponent values; one corresponds to stable sectors with small fluctuations, and the other with dominance of large fluctuations leading to possible downturns in those sectors.

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BibTeXRIS

Suchetana Sadhukhan, Poulomi Sadhukhan. 2022-10-18. Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis. https://arxiv.org/abs/2210.09619

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