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Random walks and market efficiency: evidence from Indian stock market

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  • Naliniprava Tripathy

Abstract

This paper examines the efficiency of Indian stock market by using daily closing price of BSE SENSEX from August 2002 to March 2011. The study has used unit root test, autocorrelation test, runs test, GARCH (symmetric) EGARCH and TARCH (asymmetric) models to determine the random walk behaviour of Indian stock market. Further this study has employed various forecasting approaches to measure the forecasting accuracy of symmetric and asymmetric models. This study suggests that asymmetric models provide better forecasting performance than symmetric models. The result of the study shows that Indian stock market does not exhibit a random walk behaviour and weak form of market efficiency. The study concludes that investor can make abnormal profits by studying and forecasting the prices of assets in this market.

Suggested Citation

  • Naliniprava Tripathy, 2013. "Random walks and market efficiency: evidence from Indian stock market," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 6(2), pages 210-228.
    • Handle: RePEc:ids:ijecbr:v:6:y:2013:i:2:p:210-228
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