On the random walk characteristics of stock returns in India

An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using non-parametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow random walk during the sample period.

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Year of publication:	2009
Authors:	Hiremath, Gourishankar S ; Bandi, Kamaiah
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Random walk \| auto correlation \| mean reversion \| BSE \| NSE \| non-parametric \| Nifty \| Sensex \| India

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Artha Vijnana 1.51(2009): pp. 85-96
Classification:	C1 - Econometric and Statistical Methods: General ; C14 - Semiparametric and Nonparametric Methods ; C5 - Econometric Modeling ; c58 ; G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011113811