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On the Random Walk Characteristics of Stock Returns in India
2009
Artha Vijnana Journal of The Gokhale Institute of Politics and Economics
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An attempt is made in this paper to examine whether stock returns in two premier stock 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 using non-parametric Runs and BDS tests. The findings of the study reveal that the stock returns do not follow a random walk during the sample period.
doi:10.21648/arthavij/2009/v51/i1/115429
fatcat:kepw4jatzrasvjw5fv7dowcmau