Table of Contents
Economics Research International
Volume 2014, Article ID 807580, 6 pages
http://dx.doi.org/10.1155/2014/807580
Research Article

A Complex Dynamical Analysis of the Indian Stock Market

School of Economics, University of Hyderabad, Hyderabad 500046, India

Received 17 May 2014; Revised 23 November 2014; Accepted 26 November 2014; Published 14 December 2014

Academic Editor: Laura Gardini

Copyright © 2014 Anoop Sasikumar and Bandi Kamaiah. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

This paper seeks to analyze the dynamical structure of the Indian stock market by considering two major Indian stock market indices, namely, BSE Sensex and CNX Nifty. The recurrence quantification analysis (RQA) is applied on the daily closing data of the two series during the period from January 2, 2002, to October 10, 2013. A Rolling Window of 100 and step size 21 are applied in order to see how both the series behave over time. The analysis based on three RQA measures, namely, % determinism (DET), laminarity (LAM), and trapping time (TT), provides conclusive evidence that the Indian equity market is chaotic in nature. Evidences for phase transition in the Indian equity market around the time of financial crisis are also found.