Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis

Subrata Roy

Foreign Trade Review, 2018, vol. 53, issue 4, 225-238

Abstract: The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on various test statistics. JEL Classification: G00, G01, G02

Keywords: RWH; ADF; PP; VR; Runs Test (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sae:fortra:v:53:y:2018:i:4:p:225-238

DOI: 10.1177/0015732518797183

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