Open AccessStock Price Behavior of Nepalese Commercial Banks: Random Walk Hypothesis
Author(s) -
Nirajan Bam,
Rajesh Kumar Thagurathi,
Bipin Shrestha
Publication year - 2018
Publication title -
the journal of business and management
Language(s) - English
Resource type - Journals
ISSN - 2350-8868
DOI - 10.3126/jbm.v5i0.27387
Subject(s) - random walk hypothesis , random walk , heteroscedasticity , stock (firearms) , econometrics , economics , martingale (probability theory) , stock price , financial economics , statistics , context (archaeology) , stock market , mathematics , geography , paleontology , archaeology , series (stratigraphy) , biology
Using the data set on daily stock prices during the fiscal year 2015/16 (Sept 23, 2015 through Dec 22, 2015), this paper attempts to analyze the random behavior of stock price of Nepalese Commercial Banks by using run test, serial correlation and run tests and martingale random walk hypothesis under heteroscedasticity assumption of standard error. The results conclude that the proposition of Random Walk Hypothesis (RWH) in Nepalese stock markets does not hold true. This conclusion corroborates with the conclusions of the past studies carried out in Nepalese context.