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VOL. 7, ISSUE 3 (2025)
Assessing random walk of returns in select stock exchange: Evidence from India
Authors
Dr. Dipika Bhowmik, Mr. Abhijit Roy, Dr. Abhijeet Bag
Abstract
The Indian capital market has emerged as one
of the fastest growing economies in the world. In recent years due to secured
regulatory monitoring system and digital transformation has lead to increased
stock market participation among retail traders. The most liquid and one of the
largest stock exchanges named National Stock Exchange playing an important role
in shaping the capital market of India. The study investigates whether the
Indian market follows a random pattern by analysing daily returns of the
indices of National Stock Exchange (NSE). The research is based on secondary
data which was collected for the period of ten years to examine any major
changes in market behaviour. The study employs both parametric and
non-parametric methods to test the randomness of stock returns. The parametric
methods include the Autocorrelation Test and Variance Ratio Test, while the
non-parametric method is the Runs Test. The results reveal that the Indian
stock market does not completely follow a random walk pattern which implies
that past stock prices may predict the future returns. Therefore, the study
concludes that the Indian stock market was not fully efficient during the study
period potentially due the impact of the recent global pandemic.
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Pages:39-43
How to cite this article:
Dr. Dipika Bhowmik, Mr. Abhijit Roy, Dr. Abhijeet Bag "Assessing random walk of returns in select stock exchange: Evidence from India". International Journal of Finance and Commerce, Vol 7, Issue 3, 2025, Pages 39-43
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