On 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

See all articles by Gourishankar S. Hiremath

Gourishankar S. Hiremath

Indian Institute of Technology (IIT), Kharagpur - Department of Humanities and Social Sciences

Anver Sadat

Central University of Kerala; University of Hyderabad

Bandi Kamaiah

University of Hyderabad

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

Suggested Citation

Hiremath, Gourishankar S. and Sadat, Anver and Sadat, Anver and Kamaiah, Bandi, On the Random Walk Characteristics of Stock Retuns in India (March 1, 2009). Artha Vijnana, Vol. LI, No. 1, pp 85-96, March 2009, Available at SSRN: https://ssrn.com/abstract=1780667

Gourishankar S. Hiremath (Contact Author)

Indian Institute of Technology (IIT), Kharagpur - Department of Humanities and Social Sciences ( email )

Kharagpur, West Bengal 721302
India

Anver Sadat

University of Hyderabad ( email )

Central University (PO)
Andhra Pradesh
Hyderabad, CA Andhra Pradesh 500 046
India

Central University of Kerala

Central University of Kerala, Tejaswini Hills Camp
Kasaragod, KS Kerala State 671316
India

Bandi Kamaiah

University of Hyderabad ( email )

Central University (PO)
Andhra Pradesh
Hyderabad, CA 500 046
India

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