Do Stock Returns in India Follow a Random Walk?

The IUP Journal of Applied 56 Economics, Vol. XI, No. 2, 2012

11 Pages Posted: 16 May 2012 Last revised: 28 Dec 2014

See all articles by Anver Sadat

Anver Sadat

Central University of Kerala; University of Hyderabad

Gourishankar S. Hiremath

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

Bandi Kamaiah

University of Hyderabad

Multiple version iconThere are 2 versions of this paper

Date Written: April 1, 2012

Abstract

This paper empirically investigates the behavior of stock returns of two premier stock markets in India, namely, the Bombay Stock Exchange (BSE) and National Stock Exchange (NSE). Specifically, the paper seeks to examine whether the security returns in these two markets follow Random Walk Hypothesis (RWH). Towards this end, data on major indexes during the period June 2, 1997 to February 29, 2009 are analyzed using variance ratio and auto-correlation tests. The results are inconclusive as both the tests provide mixed results.

Keywords: Random walk hypothesis, Market Efficiency, Indian Stock Market, BSE, NSE, Variance ratio, autocorrelation

JEL Classification: G14, C14, C58

Suggested Citation

Sadat, Anver and Sadat, Anver and Hiremath, Gourishankar S. and Kamaiah, Bandi, Do Stock Returns in India Follow a Random Walk? (April 1, 2012). The IUP Journal of Applied 56 Economics, Vol. XI, No. 2, 2012, Available at SSRN: https://ssrn.com/abstract=2061110

Anver Sadat

Central University of Kerala

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

University of Hyderabad ( email )

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

Gourishankar S. Hiremath (Contact Author)

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

Kharagpur, West Bengal 721302
India

Bandi Kamaiah

University of Hyderabad ( email )

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

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