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

Main Article Content

Radhika Prosad Datta
jayanta Kumar Seal
Jayanta Kumar Seal


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.

Article Details

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


Anis, A.A. and Lloyd, E.H. 1976. The expected value of the adjusted rescaled Hurst range of Independent normal summands. Biometrica 63: 111-116

Baillie, R.T., C.F. Chung, and M.A. Tieslau. 1996. Analysing inflation by the fractionally integrated ARFIMA-GARCH model. Journal of Applied Econometrics 11: 23–40.

Beran, J. and Terrin, N. 1994. Estimation of the long-memory parameter, based on a multivariate central limit theorem. Journal of Time Series Analysis 15: 269-278

Biernacki. A. 2012. Tracking Scaling Effects in Mutual Funds Return Time Series. Acta Physica Polonica 43: 44-100.

Cajueiro, D.O. and B.M. Tabak. 2004. Evidence of long-range dependence in Asian equity markets: The role of liquidity and market restrictions. Physica A: Statistical Mechanics and Its Applications 342: 656–664.

Cajueiro, D.O. and B.M. Tabak. 2005. Possible causes of long-range dependence in the Brazilian stock market. Physica A: Statistical Mechanics and Its Applications 345: 635–645.

Carbone, G. Castelli, H.E. Stanley. 2004. Time-dependent Hurst exponent in financial time series. Physica A: Statistical Mechanics and Its Applications 344: 267–271.

Clark, A. 2005. The Use of Hurst and the effective return in investing. Quantitative Finance 5:1-8.

Corazza, M. and A.G. Malliaris. 2002. Multifractality in foreign currency markets. Multinational Finance Journal 6: 387–401.

Diebold, F.X. and G.D. Rudebusch. 1989. Long-memory and persistence in aggregate output.

Journal of Monetary Economics 24: 189–209.

Datta R. P. and Bhattacharyya R. 2018. Has the efficiency of foreign exchange markets in India evolved over time? International Journal of Emerging Markets 13: 676-688.

Fama, E.F. 1970. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25:383–417

Fama, E.F. and French, K. R. 2010. Luck versus skill in the cross-section of mutual fund returns. Journal of Finance 65: 1915-1947

Gibson, G.R.. 1889. The Stock Exchanges of London, Paris, and New York: a comparison (G.P. Putnam’s Sons,New York).

Greene, M. and B. Fielitz. 1977. Long-term dependence in common stock returns. Journal of

Financial Economics 4: 339–349.

Grinblatt, M. and Titman, S. 1992. The persistence of mutual fund performance. The Journal of Finance 47: 1977-1984

Grossman, S., Stiglitz, J. 1980. On the impossibility of informationally efficient markets. American Economic Review 70: 393–408.

Hereil P.,Moussavi N.,MitaineP. and Roncalli T. (2010), Mutual Fund Ratings and Performance Persistence. Lyxor White Paper Series, 3,

Hull, M. and McGroarty, F. 2014. Do emerging market become more efficient as they develop? Long memory persistence in equity indices. Emerging Market Review 18: 45-61

Hurst, H. 1951. Long-term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers 1: 519–543.

Jacobsen, B. 1996. Long term dependence in stock returns. Journal of Empirical Finance 3: 393–417.

Kristoufek, L. 2010. On spurious anti-persistence in the US stock indices. Chaos, Solitons &

Fractals 43: 68–78.

Kumar, D. and S. Maheswaran. 2012. Long memory in PIIGS economies: An application of wavelet analysis. NMIMS Management Review 12: 21–34.

Kumar, D. & S. Maheswaran. 2015. Long memory in Indian exchange rates: an application of power-law scaling analysis. Macroeconomics and Finance in

Emerging Market Economies 8: 90-107

Spierdijk L., Jacob A. Bikker,J.A. and Hoek, P. 2012. Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance 31: 228–249

Lo, A.W. 1991. Long-term memory in stock market prices. Econometrica 59: 1279–1313.

Maghyereh.A.I 2007. Testing for long-range dependence in stock market returns: a further evidence from MENA emerging stock markets. Applied Financial Economics Letters 3: 365-371.

Mandelbrot, B.B., 1971. When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models. The Review of Economics and Statistics 53: 225–236.

Mandelbrot, B.B. 1972. Statistical methodology for nonperiodic cycles from covariance to R/S analysis. Annals of Economic and Social Measurement 1: 259–290.

Matteo, T.D., T. Aste, and M.M. Dacorogna. 2005. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. Journal of Banking & Finance 29: 827–851.

Mitra, S.K. and Bawa, J. 2017. Can trade opportunities and returns be generated in a trend

persistent series? Evidence from global indices. Physica A: Statistical Mechanics and its Applications 469: 124-135.

Peters, E. 1991. Chaos and order in the capital markets: A new view of cycles, prices, and market volatility. New York: John Wiley & Sons.

Peters, E. 1996. Chaos and order in the capital markets: A new view of cycles, prices, and market volatility. New York: John Wiley & Sons

Pierre H., Philippe M., Nicolas M. and Thierry R. 2010. Mutual Fund Ratings and Performance Persistence. SSRN. (Electronic copy available at:

Regnault, J.A.F., 1863. Calcul des Chances et Philisophie de la Bourse. Mallet-Bachelier et Castel, Paris

Serletis, A. and A.A. Rosenberg. 2009. Mean reversion in the US stock market. Chaos, Solitons and Fractals 40: 2007–2015.

Souza, S.R., B.M. Tabak, and D.O. Cajueiro. 2008. Long-range dependence in exchange rates: The case of the European monetary system. International Journal of Theoretical and Applied Finance 11: 199–223.

Weron, R.2002. Estimating long-range dependence:finite sample properties and confidence intervals. Physica A: Statistical Mechanics and its Applications 312:285-299

Willinger, W., M.S. Taqqu, and V. Teverovsky. 1999. Stock market prices and long-range dependence. Finance and Stochastics 3: 1–13.