Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics

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On the Random Walk Characteristics of Stock Returns in India


Affiliations
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, India
     

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An attempt is made in this paper to examine whether stock returns in two premier stock 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 nonparametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow a random walk during the sample period.
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  • On the Random Walk Characteristics of Stock Returns in India

Abstract Views: 340  |  PDF Views: 1

Authors

Gourishankar S. Hiremath
Department of Economics, University of Hyderabad, Hyderabad - 500046
Anver Sadath
Department of Economics, University of Hyderabad, Hyderabad - 500046, India
B. Kamaiah
Department of Economics, University of Hyderabad, Hyderabad - 500046, India

Abstract


An attempt is made in this paper to examine whether stock returns in two premier stock 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 nonparametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow a random walk during the sample period.


DOI: https://doi.org/10.21648/arthavij%2F2009%2Fv51%2Fi1%2F115429