The random-walk hypothesis on the Indian stock market

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

Abstract

We test the random-walk hypothesis for the Indian stock market by applying three unit root tests with two structural breaks. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks finds that the stock indexes are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high-frequency financial data.
Original languageEnglish
Pages (from-to)879 - 892
Number of pages14
JournalEmerging Markets Finance and Trade
Volume51
Issue number5
DOIs
Publication statusPublished - 2015

Cite this

@article{b814602596724ecc97089d5f80dd13a4,
title = "The random-walk hypothesis on the Indian stock market",
abstract = "We test the random-walk hypothesis for the Indian stock market by applying three unit root tests with two structural breaks. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks finds that the stock indexes are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high-frequency financial data.",
author = "Ankita Mishra and Vinod Mishra and Smyth, {Russell Leigh}",
year = "2015",
doi = "10.1080/1540496X.2015.1061380",
language = "English",
volume = "51",
pages = "879 -- 892",
journal = "Emerging Markets Finance and Trade",
issn = "1540-496X",
publisher = "Taylor & Francis",
number = "5",

}

The random-walk hypothesis on the Indian stock market. / Mishra, Ankita; Mishra, Vinod; Smyth, Russell Leigh.

In: Emerging Markets Finance and Trade, Vol. 51, No. 5, 2015, p. 879 - 892.

Research output: Contribution to journalArticleResearchpeer-review

TY - JOUR

T1 - The random-walk hypothesis on the Indian stock market

AU - Mishra, Ankita

AU - Mishra, Vinod

AU - Smyth, Russell Leigh

PY - 2015

Y1 - 2015

N2 - We test the random-walk hypothesis for the Indian stock market by applying three unit root tests with two structural breaks. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks finds that the stock indexes are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high-frequency financial data.

AB - We test the random-walk hypothesis for the Indian stock market by applying three unit root tests with two structural breaks. We find that unit root tests that allow for two structural breaks alone are not able to reject the unit root null; however, a recently developed unit root test that simultaneously accounts for heteroskedasticity and structural breaks finds that the stock indexes are mean reverting. Our results point to the importance of addressing heteroskedasticity when testing for a random walk with high-frequency financial data.

U2 - 10.1080/1540496X.2015.1061380

DO - 10.1080/1540496X.2015.1061380

M3 - Article

VL - 51

SP - 879

EP - 892

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

SN - 1540-496X

IS - 5

ER -