A Study of Random Walk Hypothesis of Selected Scrips in Bombay Stock Exchange
Finance India, Vol XXX No. 1
Posted: 2 Dec 2016
Date Written: March 1, 2016
Abstract
The study involves understanding the behaviour of shares listed on the Bombay Stock Exchange (BSE) over a period of six years (1998 to 2004). Constituents of eight sectors were studied to identify if the shares followed random walk. QQ Plots, Runs Test, Serial Correlation Tests and Ljung Box statistic were used for analysis. Several stocks individually tested were found to have followed a random walk across the sectors.
Keywords: Random walk, India, Stock Exchange
Suggested Citation: Suggested Citation
Sethi, Madhvi, A Study of Random Walk Hypothesis of Selected Scrips in Bombay Stock Exchange (March 1, 2016). Finance India, Vol XXX No. 1, Available at SSRN: https://ssrn.com/abstract=2878686
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