Abstract
We empirically investigated the presence of long memory in financial return series data of selected equity oriented mutual funds in India. The Hurst exponent, a non parametric test was used as the measurement of performance persistence to show presence of long memory. We used Net Asset Value (NAV) of 33 equity oriented growth based Indian mutual funds from different categories which showed a diversified picture of the mutual fund industry in India for the period 2003-2019. We empirically found that the degree of performance persistence is positive in case of selected funds and a few funds showed randomness or Brownian motion. The result suggested that the performance persistence exists in Indian mutual funds, applying the Rescaled Range method of Hurst exponent analysis.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
