Hurst Exponent Anaysis of Indian Stock Market: Case of Covid19

Abstract

This study assesses how the Corona virus pandemic (COVID-19) affected the Indian Stock market by analyzing its market efficiency and predictability using a concept borrowed from physics and widely applied to financial time series . Nifty 50 and 14 Nifty Sectoral indices are analysed using the Hurst Exponent .The Closing prices of Nifty 50 and 14 sectoral indices listed on NSE ranging from November 1, 2017 to January 24, 2020 (Pre- Covid) and January 27, 2020 to March 11, 2022 (during Covid)are utilized for this study . The findings are interesting as Hurst Exponent is found to be greater than 0.5 most of the times for all the series. This implies stock market persistency in ‘Pre Covid’ as well as  ‘during Covid’ phase for  the Nifty indices except Nifty Bank index , Nifty Financial Services index  and Nifty Private Bank index . These findings are suggestive of high predictability in Indian stock market irrespective of the economic phase of the economy. This study also opens avenues for further research . Was persistency ,and hence predictability, only a feature of emerging economies during Covid19 or was it a world wide phenomena ? Is‘Random Walk Theory’ not applicable in Indian Stock market?