Testing random walk hypothesis for bombay stock exchange listed stocks
作者: Rupinder Katoch
刊名: International Journal of Management, IT and Engineering, 2018, Vol.8 (2), pp.104-115
来源数据库: Indianjournals.com
关键词: Runs testDickey-Fuller testRandom Walk HypothesisMarket EfficiencyUnit Root
原始语种摘要: For many years researchers have been testing the existence of random walk in stock prices in developing countries. Present paper has investigated whether prices in Indian stock markets follow a random-walk process as required by market efficiency. The current paper has studied the stock returns of the Bombay Stock Exchange and tested the randomness using Run Test. Auto Correlation test and also tested the stationarity of the monthly stock returns using Dickey-Fuller test. In time series econometrics, a time series that has a unit root is known as a random walk. A random walk is an example of a non-stationary time series. The Dickey-Fuller test of stationarity is applied to the stock returns of selected 20 companies. The Dickey-Fuller test rejects the unit root hypothesis whereas Run test...
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关键词翻译
关键词翻译
  • stock 岩株
  • listed 坏布边
  • stationarity 固定性
  • returns 返回粉末
  • random 随机的
  • prices 行情
  • econometrics 计量经济学
  • hypothesis 假说
  • market 市场
  • process 过程