Table of Contents

Introduction.- Random Walk Characteristics of Stock Returns.- Nonlinear Dependence in Stock returns.- Mean Reverting Tendency in Stock Returns.- Long Memory in Stock Returns: Theory and Evidence.-Long Memory in Stock Market Volatility.- Summary and Conclusion

About the Author

Gourishankar S Hiremath is Assistant Professor of Economics & Finance at Indian Institute of Technology Kharagpur (India). He previously worked at Indian Institute of Technology Jodhpur, Gokhale Institute of Politics and Economics, Pune, and ICFAI Business School (IBS)-Hyderabad. He holds a PhD in Financial Economics from University of Hyderabad, India and his areas of specialisation include Financial Markets – Indian Capital Market, International Finance, Financial and Commodity Derivatives and Applied Time Series Econometrics.  Dr. Hiremath has published several research papers in leading journals and in National and International conference proceedings. He has done research for National Bank for Agriculture and Rural Development (NABARD) and Climate Works Foundation, New Delhi. He is a member of Panel of Experts, Young Entrepreneurs Incentive Scheme of Rajasthan Financial Corporation sponsored by Council of State Industrial Development and Investment Corporations of India.