{"id":"https://openalex.org/W1490169843","doi":"https://doi.org/10.1080/1540496x.2005.11052624","title":"Testing Predictability and Nonlinear Dependence in the Indian Stock Market","display_name":"Testing Predictability and Nonlinear Dependence in the Indian Stock Market","publication_year":2005,"publication_date":"2005-11-01","ids":{"openalex":"https://openalex.org/W1490169843","doi":"https://doi.org/10.1080/1540496x.2005.11052624","mag":"1490169843"},"language":"en","primary_location":{"id":"doi:10.1080/1540496x.2005.11052624","doi":"https://doi.org/10.1080/1540496x.2005.11052624","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1540496x.2005.11052624","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045110961","display_name":"NITYANDA SARKAR","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I6498739","display_name":"Indian Statistical Institute","ror":"https://ror.org/00q2w1j53","country_code":"IN","type":"education","lineage":["https://openalex.org/I6498739"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"NITYANDA SARKAR","raw_affiliation_strings":["a  Indian Statistical Institute, Kolkata, India","Indian Statistical Institute, Kolkata, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"a  Indian Statistical Institute, Kolkata, India","institution_ids":["https://openalex.org/I6498739"]},{"raw_affiliation_string":"Indian Statistical Institute, Kolkata, India","institution_ids":["https://openalex.org/I6498739"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5042923310","display_name":"Debabrata Mukhopadhyay","orcid":"https://orcid.org/0000-0002-3159-8928","observed_orcids":["https://orcid.org/0000-0002-3159-8928"]},"institutions":[{"id":"https://openalex.org/I4405264775","display_name":"Shyampur Siddheswari Mahavidyalaya","ror":"https://ror.org/02ya8kf49","country_code":"IN","type":"government","lineage":["https://openalex.org/I4405264775"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"DEBABRATA MUKHOPADHYAY","raw_affiliation_strings":["b  Shyampur Siddheswari College, Ajodhya, Howrah, India","Shyampur Siddheswari College, Ajodhya, Howrah, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"b  Shyampur Siddheswari College, Ajodhya, Howrah, India","institution_ids":["https://openalex.org/I4405264775"]},{"raw_affiliation_string":"Shyampur Siddheswari College, Ajodhya, Howrah, India","institution_ids":["https://openalex.org/I4405264775"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.7078,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.87995628,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"41","issue":"6","first_page":"7","last_page":"44"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9916999936103821,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.006000000052154064,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0019000000320374966,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stock-market-predictability","display_name":"stock market predictability","score":0.968999981880188},{"id":"https://openalex.org/keywords/nonlinear-dependence","display_name":"nonlinear dependence","score":0.9589999914169312},{"id":"https://openalex.org/keywords/indian-stock-market","display_name":"Indian stock market","score":0.9829999804496765},{"id":"https://openalex.org/keywords/serial-correlation","display_name":"serial correlation","score":0.8339999914169312},{"id":"https://openalex.org/keywords/day-of-the-week-effect","display_name":"day-of-the-week effect","score":0.972000002861023},{"id":"https://openalex.org/keywords/parameter-instability","display_name":"parameter instability","score":0.921999990940094},{"id":"https://openalex.org/keywords/conditional-heteroscedasticity","display_name":"conditional heteroskedasticity","score":0.9800000190734863},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.8820000290870667},{"id":"https://openalex.org/keywords/short-term-interest-rates","display_name":"short-term interest rates","score":0.7670000195503235},{"id":"https://openalex.org/keywords/higher-order-moments","display_name":"higher-order moments","score":0.9570000171661377},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.6349999904632568}],"concepts":[{"id":"https://openalex.org/C197640229","wikidata":"https://www.wikidata.org/wiki/Q2534066","display_name":"Predictability","level":2,"score":0.904147207736969},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.773109495639801},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.7095111608505249},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6741535663604736},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6420338749885559},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.6320053935050964},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5839572548866272},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5736035108566284},{"id":"https://openalex.org/C158622935","wikidata":"https://www.wikidata.org/wiki/Q660848","display_name":"Nonlinear system","level":2,"score":0.5054633617401123},{"id":"https://openalex.org/C21430997","wikidata":"https://www.wikidata.org/wiki/Q5159279","display_name":"Conditional variance","level":4,"score":0.49790239334106445},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.49406054615974426},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.47093692421913147},{"id":"https://openalex.org/C186215838","wikidata":"https://www.wikidata.org/wiki/Q772232","display_name":"Conditional expectation","level":2,"score":0.4203528165817261},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.28054744005203247},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24323374032974243},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20063340663909912},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.061289310455322266},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/1540496x.2005.11052624","doi":"https://doi.org/10.1080/1540496x.2005.11052624","is_oa":false,"landing_page_url":"https://doi.org/10.1080/1540496x.2005.11052624","pdf_url":null,"source":{"id":"https://openalex.org/S166264140","display_name":"Emerging Markets Finance and Trade","issn_l":"1061-2009","issn":["1061-2009","1540-496X","1558-0938"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Emerging Markets Finance and Trade","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:mes:emfitr:v:41:y:2005:i:6:p:7-44","doi":null,"is_oa":false,"landing_page_url":"http://mesharpe.metapress.com/link.asp?target=contribution&id=5TXQUDQLCYCHPKLU","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:taf:emfitr:v:41:y:2005:i:6:p:7-44","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/1540496X.2005.11052624","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":69,"referenced_works":["https://openalex.org/W46692528","https://openalex.org/W119787610","https://openalex.org/W1481164436","https://openalex.org/W1491711721","https://openalex.org/W1502173616","https://openalex.org/W1507259579","https://openalex.org/W1531653575","https://openalex.org/W1565371041","https://openalex.org/W1570831843","https://openalex.org/W1587806953","https://openalex.org/W1969604147","https://openalex.org/W1974977139","https://openalex.org/W1977675844","https://openalex.org/W1979575715","https://openalex.org/W1984536024","https://openalex.org/W1987203652","https://openalex.org/W1993285738","https://openalex.org/W1999996900","https://openalex.org/W2001121254","https://openalex.org/W2007785900","https://openalex.org/W2008735309","https://openalex.org/W2009721612","https://openalex.org/W2010997253","https://openalex.org/W2011676959","https://openalex.org/W2014432465","https://openalex.org/W2026580305","https://openalex.org/W2031365995","https://openalex.org/W2035500649","https://openalex.org/W2036151776","https://openalex.org/W2036193989","https://openalex.org/W2043525080","https://openalex.org/W2044117118","https://openalex.org/W2049723111","https://openalex.org/W2051156723","https://openalex.org/W2061030837","https://openalex.org/W2063130671","https://openalex.org/W2063749173","https://openalex.org/W2066628373","https://openalex.org/W2070509242","https://openalex.org/W2077207288","https://openalex.org/W2078236117","https://openalex.org/W2082179812","https://openalex.org/W2082265121","https://openalex.org/W2089556049","https://openalex.org/W2093230975","https://openalex.org/W2095233046","https://openalex.org/W2097580026","https://openalex.org/W2104267426","https://openalex.org/W2108322521","https://openalex.org/W2108446661","https://openalex.org/W2116659784","https://openalex.org/W2117922789","https://openalex.org/W2118775685","https://openalex.org/W2131773668","https://openalex.org/W2138293190","https://openalex.org/W2144452471","https://openalex.org/W2153710515","https://openalex.org/W2159345505","https://openalex.org/W2160607725","https://openalex.org/W2161716382","https://openalex.org/W2171143352","https://openalex.org/W2321648089","https://openalex.org/W2328464670","https://openalex.org/W2337958348","https://openalex.org/W2470046770","https://openalex.org/W2798649148","https://openalex.org/W3123162908","https://openalex.org/W3123598380","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W1986417685","https://openalex.org/W2054277264","https://openalex.org/W938411632","https://openalex.org/W2136487607","https://openalex.org/W1789481737","https://openalex.org/W7097752914","https://openalex.org/W2164519284","https://openalex.org/W2160045398","https://openalex.org/W2539477064","https://openalex.org/W1580540756"],"abstract_inverted_index":{"This":[0],"paper":[1],"suggests":[2],"a":[3,67],"systematic":[4],"approach":[5,33],"to":[6,106],"studying":[7],"predictability":[8],"and":[9,39,48,98,133],"nonlinear":[10,35,109],"dependence":[11,36],"in":[12,28,37,121,136],"the":[13,16,22,29,45,75,84,92,123,137],"context":[14],"of":[15,21,43,62,69,83,102,130],"Indian":[17,85,93],"stock":[18,26,86,94],"market,":[19],"one":[20],"most":[23],"important":[24],"emerging":[25],"markets":[27],"world.":[30],"The":[31],"proposed":[32],"considers":[34],"returns":[38],"envisages":[40],"appropriate":[41],"specification":[42],"both":[44],"conditional":[46,116],"first-":[47],"second-order":[49],"moments,":[50],"so":[51],"that":[52,91],"final":[53],"conclusions":[54],"are":[55,72],"free":[56],"from":[57],"any":[58],"probable":[59],"statistical":[60],"consequences":[61],"misspecification.":[63],"To":[64],"this":[65,99],"end,":[66],"number":[68],"rigorous":[70],"tests":[71],"applied":[73],"on":[74,78],"returns,":[76],"based":[77],"four":[79],"major":[80],"daily":[81],"indices":[82],"market.":[87],"It":[88],"is":[89,96,104],"found":[90],"market":[95],"predictable,":[97],"observed":[100],"lack":[101],"efficiency":[103],"due":[105],"serial":[107],"correlation,":[108],"dependence,":[110],"day-of-the":[111],"week":[112],"effects,":[113],"parameter":[114],"instability,":[115],"heteroskedasticity":[117],"(GARCH),":[118],"daily-level":[119],"seasonality":[120],"volatility,":[122],"short-term":[124],"interest":[125],"rate":[126],"(in":[127],"some":[128,131,134],"subperiods":[129],"indices),":[132],"dynamics":[135],"higher-order":[138],"moments.":[139]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-09-26T08:19:03.415552","created_date":"2016-06-24T00:00:00"}
