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Whether high frequency intraday data behave randomly: Evidence from NIFTY 50

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  • Subrata ROY

    (Mahatma Gandhi Central University, Bihar, India)

Abstract

Keeping in mind the notion of random walk and market efficiency, the present study gives importance on the sense of the above issues by considering high frequency logarithmic intraday time series data of the popular Indian stock market index NIFTY 50 during the global Covid-19 pandemic. Thus, to realize the above notion deeply, the study uses parametric and non-parametric statistical approaches. The study reports that the null hypothesis of random walk is rejected based on various measures and the NIFTY 50 is inefficient in its weak form during the pandemic period. However, there is a little hope also because runs test accepts the null hypothesis that means NIFTY 50 follows random walk and informationally efficient in its weak form during the global pandemic. It may also be opined that testing of random walk and market efficiency largely depends on methodological innovation.

Suggested Citation

  • Subrata ROY, 2022. "Whether high frequency intraday data behave randomly: Evidence from NIFTY 50," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(631), S), pages 65-80, Summer.
    • Handle: RePEc:agr:journl:v:2(631):y:2022:i:2(631):p:65-80
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    References listed on IDEAS

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    Keywords

    NIFTY 50; India; Covid; RWH; EMH.;
    All these keywords.

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