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What Can the Log-periodic Power Law Tell about Stock Market Crash in India?
Applied Economics Journal
View Archive Info| Field | Value | |
| Title |
What Can the Log-periodic Power Law Tell about Stock Market Crash in India?
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| Creator |
Sarda, Varun
Karmarkar, Yamini Lakhotia, Neha Sen, Pratima |
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| Description |
AbstractStock markets have been of great interest to investors and academicians due to theuncertainty and expected pecuniary profits attached to them. For a few years, the Indian capital market has seen high volatility and market crashes. Market crashes are often preceded by speculative bubbles with two main characteristics: (a) power law acceleration of the market price, and (b) logperiodic oscillations. This paper attempts to investigate whether the Indian stock market follows log-periodicity. Here log-periodicity refers to the fact that the oscillations are periodic in the logarithm of the time-to-crash. Speculative bubbles of financial markets show similarities in the way they evolve and grow. This particular oscillating movement can be captured by the log-periodic power law. If market follows log-periodicity, a crash may be predicted. The analysis shows that logperiodic oscillations are present in the Indian stock market.Keywords : log-periodic, stock market, stock market crashesJEL Classification : G01, G19, P43
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| Publisher |
The Center for Applied Economics Research (CAER)
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| Date |
2013-07-25
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://tci-thaijo.org/index.php/AEJ/article/view/10444
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| Source |
Applied Economics Journal; Vol 17 No 2 (2010): December; 45-54
2586-9132 2586-9124 |
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| Language |
eng
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| Relation |
http://tci-thaijo.org/index.php/AEJ/article/view/10444/9442
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| Rights |
Copyright (c) 2014 Applied Economics Journal
http://creativecommons.org/licenses/by-nc-nd/4.0 |
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