International Journal of

Business & Management Studies

ISSN 2694-1430 (Print), ISSN 2694-1449 (Online)
DOI: 10.56734/ijbms
A Variance-Ratio Test of Random Walk in Nepalese Stock Market

Abstract

 

Over the past many years, researchers in finance, economics, and other related fields conduct intensive studies to examine whether stock prices follow a random walk. They, used various statistical techniques, often document mixed findings. The study tests the random walk hypothesis using the relatively fresh data, NEPSE Index, Float index, sensitive index, and sensitive float index of the Nepalese capital market from February 2015 to February 2020. The study explores that the NEPSE index follows a random walk. Results, however, other indices indicate that the stock market does not follow a non-random walk.