This study examines the random walk behavior of
Indian bond market. Bond indices published by Clearing Corporation of Indian (CCIL)
were used in this study. The hypothesis is tested with multiple variance ratio
tests from daily and weekly data, from 3-Jan.-2011 to 30-Dec.-2016. This paper
also applies the bootstrap procedure on all the tests used because it shows
desirable small sample properties under conditional heteroscedasticity.
Variance test ratios show that Indian bond market does not follow random walk
behavior.
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