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Testing for Random Walk Behavior in Indian Bond Market

DOI: 10.4236/tel.2017.74052, PP. 728-736

Keywords: Random Walk Behavior, Individual Variance Ratio, Multiple Variance Ratios

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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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