International Journal of Economic and Business Management

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 International Journal of Economic and Business Management

Vol. 3(2), pp. 6-12,  March, 2015.

ISSN: 2384-6151

DOI: 10.14662/IJARER2015.002



Full Length Research


The Indian Stock Market is it a Random Walk?


Prof. Davinder Suri


Faculty Economics, IBS Mumbai, Hiranandani Gardens Powai, Mumbai, India. E-mail: davinders@ibsindia.org


Accepted 16 March 2015



Efficiency in stock markets has been the subject of study in developed and developing financial markets globally in recent times. Liberalization of financial markets in developing economies has made them attractive to the international investors wherein the structural reforms and increased liquidity have a bearing on efficiency. Stock market efficiency suggests that stock prices factor in all relevant information when that information is readily available and widely circulated, which implies that there is no systematic way to exploit trading opportunities and gain excess profits. Studies conducted on the stock exchanges in the developed markets have found them to be efficient in terms of valuation of stock prices and hence earning returns from undervalued stocks becomes difficult and this is important to the investors who wish to hold internationally diversified portfolios. The Indian markets have become most sought-after around the globe by the international investing community. Research conducted on the Indian stock markets panning the 1990s to now suggests inefficiency in the Indian bourses shows that there is an opportunity to earn more than fair returns. In this paper we test the weak form efficiency in the framework of random walk hypothesis for the National Stock exchange in India for the period March 2003 to February 2015. The tests conducted include tests for stationarity and normality. The test results of the data series of NSE S & P 500 Index series and daily returns from the index show that the NSE mostly follows a random walk.

Keywords: Efficient Market Hypothesis, Random Walk, NSE, Normality, Stationary


Cite This Article As: Suri D (2015). The Indian Stock Market is it a Random Walk?. Inter. J. Econ. Bus. Manage. 3(2): 6-12.




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