Do Stock Returns in India Follow a Random Walk?

This paper empirically investigates the behavior of stock returns of two premier stock markets in India, namely, the Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Specifically, the paper seeks to examine whether the security returns in these two markets follow Random Walk Hypothesis (RWH). Towards this end, data on major indexes during the period June 2, 1997 to February 29, 2009 are analyzed using variance ratio and auto-correlation tests. The results are inconclusive as both the tests provide mixed results