It was many months ago (November of 2008) that I made this study(?) on the BSE Sensex Interday High and Low. I should have followed it up with a bigger sample size. Good thing I did not. Why bother when someone much brighter has got it all figured out. This man is perhaps one of the greatest living scientists today. He is called the father of Chaos Theory and he responds to the name Benoit B. MandelBrot. Yeah you go that right - he, of the famous Mandelbrot Set.
Here's what he has to say about a typical characteristics of a market in his absolutely remarkable book, The (Mis)behaviour of Markets ... Markets have a personality
Prices are not driven solely by real-world events, news, and people. When investors, speculators, industrialists, and bankers come together in a real marketplace, a special new kind of dynamic emerges - greater than, and different from, the sum of the parts. To use the economists' terms: In substantial part, prices are determined by endogenous effects peculiar to the inner workings of the market themselves, rather than solely by the exogenous action of outside events. Moreover, this internal marketing mechanism is remarkably durable. Wars start, peace returns, economies expand, firms fall - all these come and go, affecting prices. But the fundamental process by which prices react to news does not change.
Here's a thesis topic for students of finance and economics: Carry out a study of the pre-1991 Sensex and post-1996 Sensex variations. Examine how the markets have reacted to Indian and World events. It is bound to reveal how the characteristics of the Indian Share Market changed with the entry of Foreign Institutional Investors. And don't forget to thank me!