How the Efficiency of Mutual Funds in India Have Evolved over Time: A Study on Selected Mutual Funds in India

Authors

  • Radhika Prosad Datta Indian Institute of Foreign Trade, Kolkata Campus, 1583 Madurdaha Chowbaga Road Kolkata, Pin 700107
  • jayanta Kumar Seal Indian Institute of Foreign Trade
  • Jayanta Kumar Seal Indian Institute of Foreign Trade, Kolkata Campus 1583 Madurdaha Chowbaga Road Kolkata, Pin 700107

DOI:

https://doi.org/10.5750/jpm.v14i1.1773

Keywords:

Mutual Funds, Hurst exponent, long memory, market efficiency

Abstract

This paper studies the long term memory of the returns from selected mutual funds from the large, mid & small cap and hybrid categories in India, over 10 years starting from 2008-09. The Hurst exponent is used to study the persistence and anti-persistent or mean-reverting trends and hence the market efficiency of the returns of the funds across various categories and periods are analyzed. The findings indicate, that there seems to be no significant difference in the market efficiency of various mutual funds across the categories studied over our period of interest. Although for certain periods all the categories do show persistent or anti-persistent behavior, there does not seem to be any particular pattern in such behaviour.

Author Biographies

Radhika Prosad Datta, Indian Institute of Foreign Trade, Kolkata Campus, 1583 Madurdaha Chowbaga Road Kolkata, Pin 700107

ProfessorInformation Technology Department

jayanta Kumar Seal, Indian Institute of Foreign Trade

Associate ProfessorFinance and Accounting

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Published

2020-09-23

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