On the random walk characteristics of stock returns in India

Gourishankar Hiremath and Kamaiah Bandi

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Random walk; auto correlation; mean reversion; BSE; NSE; non-parametric; Nifty; Sensex; India (search for similar items in EconPapers)
JEL-codes: C1 C14 C5 C58 G1 G12 G14 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Artha Vijnana 1.51(2009): pp. 85-96

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