Abstract
This paper studies the randomness of stock prices in India over the period from January 1999 to December 2009. The study is based on the closing prices of 20 stocks actively traded belonging to 20 different industries listed with the Bombay Stock Exchange (BSE) and BSE Sensex 30. The study used the parametric and nonparametric tests of randomness. The Parametric tests include autocorrelation, standard error, t test and probable error. The nonparametric tests include the runs tests. Both the parametric and nonparametric tests rejected the null hypothesis that the prices are random. The study finds that the price distribution of the stocks and the market index is not normal. The data related to the skewness and kurtosis reveals large scale asymmetry in the distribution. There are strong evidences for non-randomness and interdependence of prices within the series implying that the Indian stock market is inefficient in weak form.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
