Abstract
This paper tries to empiricaly characterize the Indian intraday equity markets, using high-frequency data. The National Stock Exchange is one of the busiest exchanges in the world. Parametric modelling of intraday returns of the S \& P CNX Nifty and an equally-weighted market index of the 20 most-traded stocks shows that the behaviour of the most-traded stocks in the NSE is similar to that in the NYSE, or SEAQ, despite the NSE being an emerging marke and having a different market microstructure than the NYSE, or the SEAQ.
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