Does the Indian Stock Market Exhibit Random Walk?

Dsouza, Janet Jyothi; Mallikarjunappa, T.

doi:10.1177/0971890715585197

Cited by 11 publications

(10 citation statements)

References 35 publications

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“…In general the obtained results are hybrid, since we have total and partial rejections of the random walk hypothesis and the information efficiency hypothesis. These results are in accordance with evidence obtained by other researchers, namely with the studies of Richards (1997), Worthington and Higgs (2013), Dsouza and Mallikarjunappa (2015), Hamid et al (2017), Aggarwal (2018), Sadat and Hasan (2019) and, partially, with those of Ngene et al (2017), Abakah et al (2018) and Malafeyev et al (2019).…”

Section: Research Methodsologysupporting

confidence: 93%

“…An investor's investment long-term plan has impact largely by market efficiency (Vochozka et al, 2020;Groda & Vrbka, 2017;Vrbka & Rowland, 2017). Market efficiency also provides the regulatory steps to be developed, in order to ensure the expansion and controlled management of a state's stock markets (Dsouza & Mallikarjunappa, 2015;Shirvani & Delcoure, 2016).…”

Section: Introductionmentioning

confidence: 99%

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Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Dias

Teixeira

Machová

et al. 2020

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Research background: Covid-19 has affected the global economy and has had an inevitable impact on capital markets. In the week of February 24?28, 2020, stock markets crashed. The index FTSE 100 decreased 13%, while the indices DJIA and S&P 500 fell 11?12%, the biggest drop since the 2007?2008 financial and economic crisis. It is therefore of interest to test the random walk hypothesis in developed capital markets, European and also non-European, in order to understand the different predictabilities between them. Purpose of the article: The aim is to analyze capital market efficiency, in its weak form, through the stock market indices of Belgium (index BEL 20), France (index CAC 40), Germany (index DAX 30), USA (index DOW JONES), Greece (index FTSE Athex 20), Spain (index IBEX 35), Ireland (index ISEQ), Portugal (index PSI 20) and China (index SSE) for the period from December 2019 to May 2020. Methods: Panel unit root tests of Breitung (2000), Levin et al. (2002) and Hadri (2002) were used to assess the time series stationarity. The test of Clemente et al. (1998) is used to detect structural breaks. The tests for the random walk hypothesis follows the variance ratio methodology proposed by Lo and MacKinlay (1988). Findings & Value added: In general, we found mixed confirmation about the EMH (efficient market hypothesis). Taking into account the conclusions of the rank variance test, the random walk hypothesis was rejected in the case of stock indices: Dow Jones, SSE and PSI 20, partially rejected in the case indices: BEL 20, CAC 40, FTSTE Athex 20 and DEX 30, but accepted for indices: IBEX 35 and ISEQ. The results also show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation has consequences for investors, since some returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency.

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Section: Research Methodsologysupporting

confidence: 93%

Section: Introductionmentioning

confidence: 99%

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Dias

Teixeira

Machová

et al. 2020

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show abstract

“…The values of variance ratios are, in all cases, lower than the unit, implying that yields are self-correlated in time, there is a mean-reversion, in all indexes and in all periods, and no differences have been identified between European markets and non-European markets, amongst developed markets and emerging markets, or even among the three analyzed subperiods. The results obtained allow the rejection of the random walk hypothesis and of the financial markets' informational efficiency hypothesis, being consistent with those obtained in other studies, namely those of Richards, Worthington and Higgs, Dsouza and Mallikarjunappa, Hamid, Suleman, Ali Shah and Imdad Akash, Aggarwal, Sadat and Hasan [87,88,31,51,60,5], and, partially, with those of Chaudhuri and Wu, Ngene, Tah and Darrat, Abakah, Alagidede, Mensah and Ohene-Asare and Malafeyev et al [89,59,58,4].…”

Section: Cointegration and Market Efficiencysupporting

confidence: 89%

“…An investor's deal strategy is greatly influenced by market efficiency. Market efficiency also determines the regulatory measures that must be developed to ensure the development and organized management of a country's markets [31,32].…”

Section: The Efficient Market Hypothesis In Its Weak Formmentioning

confidence: 99%

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets

Dias¹,

Heliodoro²,

Teixeira³

et al. 2020

IJAFRM

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The aim of this paper is to analyse integration and test the hypothesis of an efficient market, in its weak form, in sixteen international financial markets. The sample covers the period from January 2002 to July 2019 and is divided into three sub-periods. In order to achieve such an analysis, the aim is to provide answers to two questions. Has the global financial crisis intensified the financial integration of international markets? If there is a process of mean-reversion in the international stock markets, with arbitrage, the hypothesis of portfolio diversification will be feasible? The results suggest that the global financial crisis has intensified the integration level of international financial markets. Regarding random walk and market efficiency hypotheses, in its weak form, the results suggest the existence of a mean-reversion and the rejection of the hypothesis of information efficiency, in its weak form, in developed and emerging markets, European and non-European. In terms of portfolio diversification analysis, we see that levels of financial integration decreased significantly in the sub-period following the global financial crisis, namely with its respective benchmarks, such as the US market, Japan and Hong Kong. We can assess the existence of feasible diversification opportunities in the long term.

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“…An investor's investment strategy is greatly influenced by market efficiency. Market efficiency also determines the regulatory measures to be developed to ensure the development and organized management of a country's markets (Dsouza and Mallikarjunappa, 2015;Shirvani and Delcoure, 2016).…”

Section: Introductionmentioning

confidence: 99%

The Impact of the Covid-19 on the Financial Markets: Evidence From G7

Heliodoro¹,

Dias²,

Alexandre³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

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This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid-19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the G7 financial markets? In the Pre-Covid period, we can verify the presence of long memories in the Canadian market (TSX), while the markets in France (CAC 40) and Italy (FTSE MID) show signs of balance, since the random walk hypothesis was not rejected. The German (DAX 30), USA (DJI), United Kingdom (FTSE 100) and Japan (NIKKEI 225) markets have anti-persistence (0 <α <0.5). In period II, the Covid-19-time scale is contained, and we verified the presence of significant long memories, except for the US stock index (0.49). These findings make it possible to show that the assumption of the market efficiency hypothesis may be called into question, because these markets are predictable, which validate the research question. The results of the pDCCA correlation coefficients, in the Pre-Covid period, show 14 pairs of median markets (0.333 → ≌ 0.666). We can also see 7 pairs of markets with strong correlation coefficients (0.666 → ≌ 1,000), showing that these markets have a tendency towards integration, this evidence may call into question the hypothesis of portfolio diversification. In period II (Covid-19) the λ_DCCA correlation coefficients have 7 strong market pairs (0.666 → ≌ 1,000), 5 pairs have weak pDCCA coefficient (0.000 → ≌ 0.333), 5 market pairs show anti-correlation (-1.000 → ≌ 0.000), and 4 market pairs show median coefficients (pDCCA) (0.333 → ≌ 0.666) (out of 21 possible). When compared to the previous subperiod, we found that the majority of the pDCCAs decreased, which shows that the markets have decreased their integration, making it possible to diversify portfolios in certain markets, especially in the Japanese market (NIKKEI 225). These conclusions open space for market regulators to take measures to ensure better informational information, in the stock markets, in the 7 most advanced economies in the world.

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Does the Indian Stock Market Exhibit Random Walk?

Cited by 11 publications

References 35 publications

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Equity Markets

The Impact of the Covid-19 on the Financial Markets: Evidence From G7

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