Download This PaperOn the Random Walk Characteristics of Stock Retuns in India
Artha Vijnana, Vol. LI, No. 1, pp 85-96, March 2009
12 Pages Posted: 8 Mar 2011 Last revised: 10 Mar 2011
Date Written: March 1, 2009
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-parametrics 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,
JEL Classification: G14, G12, C14, C58
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