Work

The Random Walk Hypothesis in the Emerging Indian Stock Market

Year: 2002

Type: article

Abstract: This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.

Source: Journal of Business Finance &amp Accounting

DOI: 10.1111/1468-5957.00469

Author: Sunil Poshakwale

Institution: University of Birmingham

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2051156723

FWCI: 1.595

Cites:

Cited by: 74

Related to: 10