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On the random walk characteristics of stock returns in India

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Author Info

  • Hiremath, Gourishankar S
  • Bandi, Kamaiah

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 non-parametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow random walk during the sample period.

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File URL: http://mpra.ub.uni-muenchen.de/46499/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 46499.

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Date of creation: 2009
Date of revision:
Publication status: Published in Artha Vijnana 1.51(2009): pp. 85-96
Handle: RePEc:pra:mprapa:46499

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Related research

Keywords: Random walk; auto correlation; mean reversion; BSE; NSE; non-parametric; Nifty; Sensex; India;

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References

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Cited by:
  1. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test," MPRA Paper 46502, University Library of Munich, Germany.

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