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- W4387373399 abstract "In this study, we examine the random walk hypothesis for two well-known Indian indices, BSE (Sensex) and NSE (Nifty), by considering country-specific political events (parliamentary elections). Two pertaining questions were studied. First, efficiency with respect to weak form, semi-strong form, and strong form; and second, the random walk pattern of the return by applying the new variance ratio tests. We use 21 years of daily closing stock price data of both the National Stock Exchange (NSE) Nifty Index and the Bombay Stock Exchange (BSE) Sensex Index. The hypothesis is tested by using both conventional and new variance ratio tests: The Lo–MacKinlay variance ratio test, the Chow–Denning test, and Wright’s Rank and Sign test. All three tests report that the return does not follow the random walk for the full sample, suggesting the possibility of making gains by exploiting various investing strategies. It was found that both Indian indices follow the random walk hypothesis during the phase of parliamentary elections. This study contributes to the existing literature on the Efficient Market Hypothesis (EMH)." @default.
- W4387373399 created "2023-10-06" @default.
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- W4387373399 date "2023-10-02" @default.
- W4387373399 modified "2023-10-16" @default.
- W4387373399 title "Does the random walk hypothesis hold for Indian stock markets during parliamentary elections?" @default.
- W4387373399 doi "https://doi.org/10.55493/5002.v13i12.4889" @default.
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