Sector-wise analysis of Indian stock market: Long and short-term risk and stability analysis

Abstract

This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($<200$ days) and long time-scale ($>200$ days) for investment. We infer that long-term investment will be more profitable. For long time scale, sectors can be separated into two categories based on the Hurst exponent values; one corresponds to stable sectors with small fluctuations, and the other with dominance of large fluctuations leading to possible downturns in those sectors.