The Random Walk Hypothesis in the Emerging Indian Stock Market
Journal of Business Finance & Accounting, 2002, vol. 29, issue 9‐10, 1275-1299
This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:29:y:2002:i:9-10:p:1275-1299
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Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker
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