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The Random Walk Hypothesis (RWH) states that stock prices move randomly in the stock market without following any regular or particular pattern and as such historical information contained in the past prices of stocks cannot be used to predict current or future stock prices. Hence, stock prices are unpredictable and that investors cannot usurp any...
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... expand our investigation on statistical tests regarding the empirical evidence on the random walk hypothesis and the weak-form efficiency in NSE by employing a more robust statistical test, the variance ratio test due to (Lo and Mackilay, 1988). The results of the tests for both homoskedasticity and heteroskedasticity assumptions for the full sample period and individual (yearly) periods are reported in Tables 5, 6 and 7 The results of the variance ratio test under homoskedasticity assumption as reported in Table 5 strongly reject the null hypothesis of a random walk for both joint tests and test of individual periods. The null hypothesis of the variance ratio tests (NSE ASI RETURNS is a random walk) are strongly rejected with marginal p-values of 0.0000. ...Similar publications
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Purpose
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