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Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis

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  • Subrata Roy

Abstract

The study seeks to examine the Random Walk Hypothesis (RWH) and market efficiency of the selected stock market indices particularly London Stock Exchange, EuroStoxx 50, Nihon Keizai Shimbum (NIKKI), Shanghai Composite Stock Exchange and Bombay Stock Exchange. Daily closing index value is considered and transformed into logarithm return. Various tests like serial independence test, unit root test and multiple variance tests are applied. It is observed that the null hypotheses (presence of random walks) of the daily returns of the indices are rejected and in few cases are accepted based on various test statistics. JEL Classification: G00, G01, G02

Suggested Citation

  • Subrata Roy, 2018. "Testing Random Walk and Market Efficiency: A Cross-Stock Market Analysis," Foreign Trade Review, , vol. 53(4), pages 225-238, November.
    • Handle: RePEc:sae:fortra:v:53:y:2018:i:4:p:225-238
    DOI: 10.1177/0015732518797183
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    References listed on IDEAS

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    More about this item

    Keywords

    RWH; ADF; PP; VR; Runs Test;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

    Statistics

    Access and download statistics

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