The Random Walk Hypothesis in the Emerging Indian Stock Market
用印度个股日数据检验随机游走假说，发现日收益存在非线性依赖和持续波动效应，拒绝该假说，对研究新兴市场有效性的学者有参考价值。
This paper examines the random walk hypothesis in the emerging Indian stock market using daily data on individual stocks. The statistical evidence in this paper rejects the random walk hypothesis. The results suggest that daily returns earned by individual stocks and by an equally weighted portfolio show significant non–linear dependence and persistent volatility effects. The non–linear dependence takes the form of ARCH–type conditional heteroskedasticity and does not appear to be caused by nonstationarity of underlying economic variables. Though conditional volatility is time varying, it does not explain expected returns.