The Random-Walk Hypothesis on the Indian Stock Market

Ankita Mishra, Vinod Mishra and Russell Smyth

No 07-14, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks, finds that the stock indices are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high frequency financial data.

Keywords: India; Unit root; Structural Break; Stock Market; Random Walk (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2014-04
New Economics Papers: this item is included in nep-fmk
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.buseco.monash.edu.au/eco/research/paper ... andommishrasmyth.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.buseco.monash.edu.au/eco/research/papers/2014/0714randommishrasmyth.pdf [301 Moved Permanently]--> https://www.monash.edu/business/ [301 Moved Permanently]--> https://www.monash.edu/business)

Related works:
Journal Article: The Random-Walk Hypothesis on the Indian Stock Market (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mos:moswps:2014-07

Ordering information: This working paper can be ordered from
https://www.monash.e ... esearch/publications

Access Statistics for this paper

More papers in Monash Economics Working Papers from Monash University, Department of Economics Department of Economics, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Simon Angus ().