IDEAS home Printed from https://ideas.repec.org/a/agr/journl/v2(631)y2022i2(631)p65-80.html
   My bibliography  Save this article

Whether high frequency intraday data behave randomly: Evidence from NIFTY 50

Author

Listed:
  • Subrata ROY

    (Mahatma Gandhi Central University, Bihar, India)

Abstract

Keeping in mind the notion of random walk and market efficiency, the present study gives importance on the sense of the above issues by considering high frequency logarithmic intraday time series data of the popular Indian stock market index NIFTY 50 during the global Covid-19 pandemic. Thus, to realize the above notion deeply, the study uses parametric and non-parametric statistical approaches. The study reports that the null hypothesis of random walk is rejected based on various measures and the NIFTY 50 is inefficient in its weak form during the pandemic period. However, there is a little hope also because runs test accepts the null hypothesis that means NIFTY 50 follows random walk and informationally efficient in its weak form during the global pandemic. It may also be opined that testing of random walk and market efficiency largely depends on methodological innovation.

Suggested Citation

  • Subrata ROY, 2022. "Whether high frequency intraday data behave randomly: Evidence from NIFTY 50," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(631), S), pages 65-80, Summer.
    • Handle: RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/1595.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=1595&rid=147
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Sharma, J. L. & Kennedy, Robert E., 1977. "A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 391-413, September.
    2. Groenewold, Nicolaas & Kuay, Chin Kang, 1993. "The Semi-strong Efficiency of the Australian Share Market," The Economic Record, The Economic Society of Australia, vol. 69(207), pages 405-410, December.
    3. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386.
    4. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    5. Conrad, Klaus & Juttner, D Johannes, 1973. "Recent Behaviour of Stock Market Prices in Germany and the Random Walk Hypothesis," Kyklos, Wiley Blackwell, vol. 26(3), pages 576-599.
    6. Chan, Kam C & Gup, Benton E & Pan, Ming-Shiun, 1992. "An Empirical Analysis of Stock Prices in Major Asian Markets and the United States," The Financial Review, Eastern Finance Association, vol. 27(2), pages 289-307, May.
    7. Klaus Conrad & D. Johannes Jüttner, 1973. "Recent Behaviour Of Stock Market Prices In Germany And The Random Walk Hypothesis," Kyklos, Wiley Blackwell, vol. 26(3), pages 576-599, January.
    8. Camelia Oprean, 2012. "Testing the financial market informational efficiency in emerging states," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 181-190, Decembre.
    9. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    10. Cepoi, Cosmin-Octavian, 2020. "Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil," Finance Research Letters, Elsevier, vol. 36(C).
    11. Sarath P. Abeysekera, 2001. "Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange - A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1-2), pages 249-261.
    12. Sarath P. Abeysekera, 2001. "Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(1‐2), pages 249-261, January.
    13. Nicolaas Groenewold & Kuay Chin Kang, 1993. "The Semi‐Strong Efficiency of the Australian Share Market," The Economic Record, The Economic Society of Australia, vol. 69(4), pages 405-410, December.
    14. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    15. Nikola Gradojević & Vladimir Djaković & Goran Andjelić, 2010. "Random Walk Theory and Exchange Rate Dynamics in Transition Economies," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 57(3), pages 303-320, September.
    16. Ching-Sheng Mao, 1987. "Aggregate fluctuations and economic growth: a case of random-walk hypothesis," Working Paper 87-06, Federal Reserve Bank of Richmond.
    17. Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
    18. Emmanuel Joel Aikins Abakah & Paul Alagidede & Lord Mensah & Kwaku Ohene-Asare, 2018. "Non-linear approach to Random Walk Test in selected African countries," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 14(3), pages 362-376, April.
    19. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    20. Dragota, Victor & Stoian, Andreea & Pele, Daniel Traian & Mitrica, Eugen & Bensafta, Malik, 2009. "The Development of the Romanian Capital Market: Evidences on Information Efficiency," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 6(2), pages 147-160, June.
    21. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
    2. Janet Jyothi Dsouza & T. Mallikarjunappa, 2015. "Does the Indian Stock Market Exhibit Random Walk?," Paradigm, , vol. 19(1), pages 1-20, June.
    3. Ushna Akber & Nabeel Muhammad, 2014. "Is Pakistan Stock Market Moving towards Weak-Form Efficiency? Evidence from The Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 808-836, June.
    4. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
    5. Sami Al Kharusi & Robert O. Weagley, 2014. "Weak Form Market Efficiency During the 2008 Financial Crisis: Evidence from the Muscat Securities Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 27-42.
    6. Manolis Kavussanos & Everton Dockery, 2001. "A multivariate test for stock market efficiency: the case of ASE," Applied Financial Economics, Taylor & Francis Journals, vol. 11(5), pages 573-579.
    7. Aumeboonsuke, Vesarach & Dryver, Arthur L., 2014. "The importance of using a test of weak-form market efficiency that does not require investigating the data first," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 350-357.
    8. Ghada Abbas, 2014. "Testing Random Walk Behavior in the Damascus Securities Exchange," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 4(4), pages 317-325, October.
    9. Mamdouh Abdulaziz Saleh Al-Faryan & Everton Dockery, 2021. "Testing for efficiency in the Saudi stock market: does corporate governance change matter?," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 61-90, July.
    10. Lim Kai Jie, Shawn & Chadha, Pavneet & Lau, Joshua & Potdar, Nishad, 2012. "Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency," MPRA Paper 41834, University Library of Munich, Germany.
    11. Truong Dong Loc & Ger Lanjouw & Robert Lensink, 2010. "Stock-market efficiency in thin-trading markets: the case of the Vietnamese stock market," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3519-3532.
    12. repec:zbw:bofism:2012_047 is not listed on IDEAS
    13. Asma Mobarek & A. Sabur Mollah & Rafiqul Bhuyan, 2008. "Market Efficiency in Emerging Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 7(1), pages 17-41, January.
    14. Rahman, Md. Lutfur & Lee, Doowon & Shamsuddin, Abul, 2017. "Time-varying return predictability in South Asian equity markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 179-200.
    15. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
    16. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047.
    17. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
    18. Amin Aminimehr & Ali Raoofi & Akbar Aminimehr & Amirhossein Aminimehr, 2022. "A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 781-815, August.
    19. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
    20. Jay Squalli, 2006. "A non-parametric assessment of weak-form efficiency in the UAE financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(18), pages 1365-1373.
    21. Subrata ROY, 2021. "Volatility Forecasting, Market Efficiency and Effect of Recession of SRI Indices," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(627), S), pages 259-284, Summer.

    More about this item

    Keywords

    NIFTY 50; India; Covid; RWH; EMH.;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marin Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.