Abstract
The present study is an attempt to find out the long-range persistence of selected sample listed in
BSE and NSE Sectoral Indices. To analyze the comparative study on the Bombay Stock Exchange and
National Stock Exchange (Special Reference with BSE Auto, Bankex & NSE Auto, Bankex ),
Augmented Dickey-Fuller Test, Phillips Perron Test for Stationarity, Autocorrelation, Normality test
using Kolmogorov- Smirnov and Shapiro –Wilk Test, ARCH and GARCH model, and Rescaled Range
Analysis during the study period 01st April 2005 to 31st March 2017 of selected Sectoral Indices listed in
Bombay Stock Exchange and National Stock Exchanges. The findings of the study indicated that there
is a persistence of long-range memory in selected sample return of BSE and NSE during the study
period.
Keywords: BSE Bankex & Auto and NSE Bankex & Auto, Persistence, Augmented Dickey-Fuller Test,
Rescaled Range Analysis.
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