Mishra, Ritesh Kumar; Sehgal, Sanjay; Bhanumurthy, N.R. - In: Review of Financial Economics 20 (2011) 2, pp. 96-104
This study tests for the presence of nonlinear dependence and deterministic chaos in the rate of returns series for six Indian stock market indices. The overall result of our analysis suggests that the returns series do not follow a random walk process. Rather it appears that the daily...