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Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks.

International Journal of Finance & Banking Studies

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Title Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks.
 
Creator Manickam, Tamilselvan M; Associate Professor - Ibri College of Technology
Sultanate of Oman
Madhumitha, R R
 
Subject FINANCE
Key words: Time Series - Auto Correlation – Unit Root Test – Random Walk– Stationary – National Stock Exchange
 
Description The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fiftystocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.Key words: Time Series - Auto Correlation – Unit Root Test – Random Walk– Stationary – National Stock Exchange
 
Publisher SSBFNET
 
Contributor Perrsonal
 
Date 2015-10-12
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/431
 
Source International Journal of Finance & Banking Studies (ISSN: 2147- 4486); Vol 4, No 4 (2015): October; 52-61
2147-4486
 
Language eng
 
Relation http://www.ssbfnet.com/ojs/index.php/ijfbs/article/view/431/438
 
Rights Copyright (c) 2015 International Journal of Finance & Banking Studies (ISSN: 2147- 4486)
http://creativecommons.org/licenses/by/4.0