Hiremath, Gourishankar S and Bandi, Kamaiah (2009): On the random walk characteristics of stock returns in India. Published in: Artha Vijnana , Vol. 51, No. 1 (2009): pp. 8596.

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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 nonparametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow random walk during the sample period.
Item Type:  MPRA Paper 

Original Title:  On the random walk characteristics of stock returns in India 
English Title:  On the random walk characteristics of stock returns in India 
Language:  English 
Keywords:  Random walk, auto correlation, mean reversion, BSE, NSE, nonparametric, Nifty, Sensex, India 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics G  Financial Economics > G1  General Financial Markets G  Financial Economics > G1  General Financial Markets > G12  Asset Pricing ; Trading Volume ; Bond Interest Rates G  Financial Economics > G1  General Financial Markets > G14  Information and Market Efficiency ; Event Studies ; Insider Trading 
Item ID:  46499 
Depositing User:  Gourishankar S. Hiremath 
Date Deposited:  24 Jul 2013 07:47 
Last Modified:  01 Oct 2019 04:22 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/46499 