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Authors
Affiliations
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 51, No 1 (2009), Pagination: 85-96
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.