文章基本信息

标题：Testing for Random Walk Behavior in Indian Bond Market
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作者：A. Sarath Babu
期刊名称：Theoretical Economics Letters
印刷版ISSN：2162-2078
电子版ISSN：2162-2086
出版年度：2017
卷号：07
期号：04
页码：728-736
DOI：10.4236/tel.2017.74052
语种：English
出版社：Scientific Research Publishing
摘要：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.
关键词：Random Walk Behavior;Individual Variance Ratio;Multiple Variance Ratios