Testing Random Walk Hypothesis for Bombay Stock Exchange Listed Stocks
Journal Title: International Journal of Management, IT and Engineering - Year 2018, Vol 8, Issue 2
Abstract
For many years researchers have been testing the existence of random walk in stock prices in developing countries. Present paper has investigated whether prices in Indian stock markets follow a random-walk process as required by market efficiency. The current paper has studied the stock returns of the Bombay Stock Exchange and tested the randomness using Run Test.Auto Correlation test and also tested the stationarity of the monthly stock returns using Dickey-Fuller test. In time series econometrics, a time series that has a unit root is known as a random walk. A random walk is an example of a non-stationary time series. The Dickey-Fuller test of stationarity is applied to the stock returns of selected 20 companies. The Dickey-Fuller test rejects the unit root hypothesis whereas Run test and Serial Correlation Tests which are very popular tests, support randomness of Bombay Stock Exchange listed stocks.
Authors and Affiliations
Dr. Rupinder Katoch
Keywords
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- EP ID EP19121
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