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.
UR - https://www.scopus.com/pages/publications/84940372505
U2 - 10.1080/1540496X.2015.1061380
DO - 10.1080/1540496X.2015.1061380
M3 - Article
SN - 1540-496X
VL - 51
SP - 879
EP - 892
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - 5
ER -