publication . Article . Preprint . 2015

The Random-Walk Hypothesis on the Indian Stock Market

Russell Smyth; Vinod Mishra; Ankita Mishra;
Open Access
  • Published: 25 Aug 2015 Journal: Emerging Markets Finance and Trade, volume 51, pages 879-892 (issn: 1540-496X, eissn: 1558-0938, Copyright policy)
  • Publisher: Informa UK Limited
Abstract
This study tests the random walk hypothesis for the Indian stock market. Using 19 years of monthly data on six indices from the National Stock Exchange (NSE) and the Bombay Stock Exchange (BSE), this study applies three different unit root tests with two structural breaks to analyse the random walk hypothesis. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks, finds that the stock indices are mean reverting. Our results point to the importance of addressing heteroskedasticity when ...
Subjects
free text keywords: General Economics, Econometrics and Finance, Finance, India, Unit root, Structural Break, Stock Market, Random Walk, Econometrics, Stock market index, Unit root, Random walk, Stock market, Economics, Mean reversion, Unit root test, Random walk hypothesis, Structural break, jel:G14, jel:C22
Related Organizations
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