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The Random Walk Hypothesis in the Emerging Indian Stock Market
Author(s) -
Poshakwale Sunil
Publication year - 2002
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00469
Subject(s) - volatility (finance) , random walk , econometrics , random walk hypothesis , heteroscedasticity , economics , portfolio , efficient market hypothesis , stock (firearms) , financial economics , stock market , mathematics , statistics , geography , context (archaeology) , archaeology
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.