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This paper intends to study and highlight the change in behavior of volatility of Indian stock market on the introduction of derivatives as a financial instrument, the announcement of union budget every year and the Lok Sabha (lower house of the Indian parliament) elections conducted during 1994-2012. Applying cointegration test between the S&P CNX Nifty and the FUTIDX index, it has been noticed that spot and futures markets are cointegrated with each other. Applying a dummy variable, TGARCH model, this paper aims to examine the impact of the above factors on the volatility of Nifty during the year 1994-2012. [ABSTRACT FROM AUTHOR]

The Covid-19 pandemic has impacted every industrial segment of the world. This paper analyzes the performance of various Nifty sectoral indices in India during the peak pandemic period. The main objective of the study is to analyze as to which industrial sector was the worst affected in India from March 2020 to May 2021. The major stock market sectoral indices have been used to check the performance of various industrial sectors. Descriptive research design has been applied on daily closing Nifty sectoral indices data. The results reveal that during the period of the study, the investors who had invested in metal, pharma and IT sectors received the maximum returns, while those who had invested in financial services, FMCG and private banks received the minimum returns. [ABSTRACT FROM AUTHOR]

Stock markets use information to determine the intrinsic values of assets and stocks. Markets take time to assimilate information and use it efficiently. This paper attempts to analyze the intraday information usage and assimilation patterns in the Bombay Stock Exchange (BSE) using the Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) approach. Using more than 53,000 time series observations of the BSE Sensex, the paper has empirically tested the information usage and assimilation in the BSE and found that during very short intervals of five minutes, markets give preference to new information. The markets then increasingly assimilate existing information and take around half-hour to assimilate the information adequately. The markets then once again start seeking new information for decision making. [ABSTRACT FROM AUTHOR]

This paper empirically examines the short-run as well as long-run relationship of the Indian stock market with the major developed markets of the world during the period 2005-13. The objective of the analysis is to decide whether the financial recession of 2008 offers better diversification benefits to global investors through equity investments in India. The empirical results of Granger causality test find causality from the developed markets to the Indian market in the short run during pre- and post-crisis days. However, Johansen's cointegration methodology fails to provide evidence of price integration among markets after recession and now the long run price movement in the Indian stock market is not driven by factors common to other markets. These findings confirm further possibilities of diversification to global investors through their equity investments in India. [ABSTRACT FROM AUTHOR]

The objective of this paper is to determine the relationship between inflation rate and stock price indices (NSE Nifty). The duration of the study is from January 1, 2008 to March 31, 2019. The data is analyzed for cointegration and causality by using Johansen cointegration test, Vector Error Correction Model (VECM) and Granger causality test. For determining the relationship between the variables, Pearson correlation test has been used. The ADF test results show that the variables are non-stationary at level and are integrated of order one. The correlation results show a negative relationship between stock market indices and inflation rate in India. Johansen cointegration test results indicate cointegration between the variables. The Granger causality test shows that inflation rate does not affect the stock market indices, and stock market indices are not affected by the inflation rate. The VECM model and Wald test results show that there is no long run and short run causality between the variables. [ABSTRACT FROM AUTHOR]

This paper is an attempt to examine the presence of herd behavior in the stock market of India, which is one of the emerging economies of the world. The study uses the measures suggested by Christie and Huang (1995) and Chang et al. (2000) on National Stock Exchange data. Empirical results based on daily and monthly data indicate that during periods of extreme price movements, equity return dispersions tend to increase rather than decrease, thus providing evidence against the presence of herding in the Indian stock market for the years 2000-2012. Owing to reforms in Indian stock market and the increased presence of institutional players, investors' behavior seems to be more rational, facilitating the application of rational pricing models in the Indian stock markets. [ABSTRACT FROM AUTHOR]

The paper applies machine learning tools in pairs trading. Three different algorithms, namely, Support Vector Machine (SVM), Random Forest (RF) and Adaptive Neuro Fuzzy Inference System (ANFIS), have been used for predictive modeling of the value of the ratio of share prices of pairs of companies. The study considers nine different independent variables/features for forecasting. The analytical framework combines the mean reverting property of the movement of a pair of prices along with technical indicators. We also use feature selection algorithms for justification of the nine independent variables. The results support our methodology and also selection of the features for prediction. [ABSTRACT FROM AUTHOR]

Corporate events have numerous effects on the stock market, as found by several research studies in the world. In this regard, the aim of this paper is to test the semi-strong form of efficiency in the Indian equity market, following an event study approach. The events considered in this paper are bonus issues and stock splits that took place in the market from 1996 to 2008. These events are tested for abnormal returns and liquidity. The data selected is free from the impact of confounding events. -30 to +30 days investigation window is taken for all the events to test the abnormal returns and the change in liquidity. The results suggest that the Indian market reacts to the stock split announcements but not to bonus issues, and the change in liquidity is significant for stock splits at 1% significance level, whereas with 5% level of significance both bonus issues and stock splits show significant change in liquidity from pre- to post-event period. [ABSTRACT FROM AUTHOR]

Financial derivatives, from the economic point of view, are cash flows that are conditionally stochastic and discounted to present value. The market risk inherent in the underlying asset is attached to the financial derivatives through contractual agreements and hence can be traded separately. In the last decade, the derivatives market in India has grown astronomically. This paper analyzes whether the growth of the derivatives segment has overtaken the cash market in National Stock Exchange (NSE) and Bombay Stock Exchange (BSE). The paper also analyzes the Pearson's correlation between the Turnover (T/O) of BSE cash segment and derivatives segment, stock futures, index futures, index call options and index put options, stock call options and stock put options. The results reveal that derivatives do indeed facilitate transfer of risk and that this segment has gradually overtaken the cash segment in terms of T/O and that there is a correlation between the above-mentioned parameters. [ABSTRACT FROM AUTHOR]

The paper attempts to explain the association between Foreign Institutional Investor (FII) flows to Indian equity markets and option implied Volatility Index (VIX). Prior studies involving the relationship between FII flows and realized volatility provide contradictory findings and are largely inconclusive. Little empirical work is found to explain the relationship between FII flow and expected volatility as measured by the option implied VIX. We find evidence that India VIX does not have any influence on FII flows to Indian equity markets. Instead, there is evidence of significant reverse causality. The results indicate that the collective perception in the minds of investors about future volatility is fueled by FII flows. [ABSTRACT FROM AUTHOR]

While most traditional science deals with supposedly predictable phenomena like gravity, electricity, or chemical reactions, Chaos Theory deals with nonlinear things that are effectively impossible to predict or control, like turbulence, weather, the stock market, our brain states, and so on. Hence, such processes focus on non-randomness, nonlinearity and chaotic characteristics. In recent times, such nonlinear dynamics and chaotic dynamics have augmented in the field of financial analysis. This paper studies the extent to which the daily return data from the Indian Stock Exchange indices (Nifty and Sensex) exhibit these nonlinear, non-random characteristics. The Hurst exponent in rescaled range analysis rejects the hypothesis that the index return series are random, independent and identically distributed. The BDS test provides evidence for nonlinearity. The results confirm the existence of fractal structure (i.e., selfsimilarity across different scales) in Nifty and Sensex. Basing on these results, technical analysis theory, i.e., Elliot Wave Theory, can also be justifiable. [ABSTRACT FROM AUTHOR]

Equity has always remained an instrument of long-term wealth creation. India being a developing nation with low average age group and rising per capita income, investment in equity may provide a significant wealth creation opportunity, provided Equity Risk Premium (ERP) is significant enough. ERP also helps in identifying the cost of equity and cost of capital of the business, and hence provides valuable insights for project appraisal decisions. This paper answers the question, "Is the ERP offered by Indian stock market justifiable?" [ABSTRACT FROM AUTHOR]

This paper examines the financing pattern of private corporate sector in India. Several studies in the last three decades have increasingly emphasized the role of finance in influencing investment activities of firms. In India, the state had actively fostered the development of financial system till the 1980s, though it favored bank-based system. With the ushering in of financial sector reforms since the early 1990s, the emphasis on equity market has gone up. This paper finds that while corporate sector relied more on bank/institution sources of funding till the early 1990s, its reliance on equity market has gone up since then. The paper ends with a discussion on the implications of such changing financing pattern. [ABSTRACT FROM AUTHOR]

The dynamics of integration is studied in two time frames: short-term and long-term. The focus of this paper is to evaluate the short-term integration dynamics of stock exchanges of India (Bombay Stock Exchange - BSE) and China (Shanghai Stock Exchange - SSE) with US (S&P500) and Europe (FTSE100). Granger Causality Test was used to identify the direction of causality, and impulse response was used to identify the effect of shocks from one market to the other markets. The outputs suggest that BSE Granger-causes FTSE100 and S&P500. But SSE does not Granger-cause S&P500 and FTSE100. This result contradicts the findings of the prior research (Janak Raj and Sarat, 2008), which suggest that Indian stock markets do not Granger-cause US, European and other developed markets. The impulse response of S& P500 to BSE suggests that any shocks from BSE to S&P500 survive for a period of two days. This study would help portfolio managers and investors to view diversification from a new perspective and take advantage of it. [ABSTRACT FROM AUTHOR]

This paper aims to identify the critical corporate fundamental factors that have a significant effect on stock price movements as mirrored by two leading stock indices, Sensex and Nifty, which in turn have an influence on the entire market movement. [ABSTRACT FROM AUTHOR]

This paper investigates the causal relationship between stock market indices and gold price in India. The monthly time series data for Mumbai gold prices and three stock market indices, viz., Sensex, BSE 100 and S&P CNX Nifty, are used for the period January 1991 to December 2011. By applying Augmented Dickey-Fuller unit root test, Johansen cointegration test and Granger causality test in Error Correction Model framework, the study concludes that all series are I(1)and there exists a long-run equilibrium relation between all the variables. The study also provides evidence that the Granger causality runs from gold price to Nifty only. Hence, gold price contains some significant information to forecast Nifty return. [ABSTRACT FROM AUTHOR]

This paper examines the relationship between the returns volatility, volume and open interest of the futures market. Both volume and open interest are broken down into their respective expected and unexpected components to understand as to which is able to explain the volatility. The study is conducted on daily closing index futures prices, volume and open interest for the near-month contract of the Nifty Futures Index on National Stock Exchange (NSE). GARCH-type models are used to model the volatility. [ABSTRACT FROM AUTHOR]

Derivatives trading is always at the center of discussion in any financial phenomenon. It has been discussed, argued and defended in many forms as to how the derivatives trading has brought distress and crisis in financial market. While a few derivatives disaster stories were enough to bring the entire business of derivatives under the limelight and make every one worry about unknown risks associated with derivatives, it has gained popularity as a measure of risk mitigation too. This paper explores the impact of futures trading of Bank Nifty Index on the underlying cash market of the sectoral index of Bank Nifty. This is an attempt to study how the onset of futures trading has affected that particular industry in terms of inducing or stabilizing volatility in the spot market. Moreover, the informational efficiency and market integration of the spot market have also been analyzed as a result of futures trading in that segment. GARCH model with futures dummy has been used to analyze the impact of futures trading on spot Bank Nifty Index volatility during the period 2000 to 2013. Two separate GARCH models have been fitted in the pre- and post-futures period to examine the relationship between new information release and spot market volatility following the onset of futures trading. The study has shown that over the time, index futures trading improved the overall performance of the spot market of banking sector by providing better exposure to global factors, by quicker information assimilation, and by reducing the persistence of volatility. [ABSTRACT FROM AUTHOR]

In recent years, private equity has emerged as an important destination for investments in India. This paper examines the effect of private equity placements on shareholder value, changes in liquidity and changes in ownership structure around the announcement of private equity deals. We find that the Indian stock market reacts positively to private equity transactions. The trading volume decreases after the private equity deal; the number of trades and turnover improve after the deal but market capitalization does not increase. There is also a dilution of promoters' shareholdings after the deal. An analysis of cross-sectional abnormal returns shows that there is a negative relation between growth opportunities and abnormal returns, confirming that private equity announcements have no impact on the growth opportunities of a firm. [ABSTRACT FROM AUTHOR]

In this paper, we study the relevance of stock options open interest in conveying information about the future price movements in the underlying stocks. This investigation has been carried out by using daily closing data of 26 stocks in the National Stock Exchange (NSE) derivatives segment for the period May 2007 to October 2008. The result proves that stock options open interest does contain valuable information about future price movements in the underlying stocks. [ABSTRACT FROM AUTHOR]

This paper examines the impact of changes in market structure on market quality through security speed of adjustment coefficients, by employing ARMA model. The average result of cross-section of companies did not show any systematic pattern in terms of persistent underreaction or overreaction. The study did not find significant difference in the speed of adjustment of small and large capitalization stocks. [ABSTRACT FROM AUTHOR]

Seasonality in stock markets is a regular and repetitive phenomenon occurring at some regular intervals of time, which may generate abnormal or excess returns. This paper explores the existence of seasonality in Indian stock market in four forms, namely, day-of-the-week effect, month-of-the-year effect, quarterly effects, and monthly effects. For this purpose, S&P CNX Nifty was taken as the sample. The daily closing, opening, high and low prices were collected from November 3, 1995 to May 31, 2013. ADF test was used for checking stationarity, whereas a dummy variable regression was used for testing seasonality. It was found that all the four effects are present in the Indian stock market. The returns of September, Monday, first quarter and first-half of the month were significantly different. Thus the existence of seasonality in Indian stock markets was proved. All the four effects tested for Nifty indicate that seasonality has changed over the years. [ABSTRACT FROM AUTHOR]

In this paper, we examine the possibility of price momentum strategy and the profitability thereof in the Indian equity market, which is one of the most promising emerging markets. We also analyze the magnitude of contribution made by losers' and winners' portfolios to momentum profit in the Indian context. The results show a strong presence of momentum phenomenon in the Indian context and also winners' portfolio contributes more to momentum return. [ABSTRACT FROM AUTHOR]

This paper intends to study the impact of global meltdown of 2008 on the overall stock market volatility, and the change in the performance of 20 reputed companies, from four sectors, listed under the National Stock Exchange. An effort has been made to find out the status of recovery of these 20 companies after the global recession began in the last week of October 2008. The objective of this study is to find out the extent of loss suffered by these companies and the time taken by them for recovery. The analysis will be of use to investors as well as policy makers. [ABSTRACT FROM AUTHOR]

This paper examines the firm characteristics typically preferred by institutional investors before investing in a stock in the Indian equity market, and also explores the implications of such preferences in terms of their subsequent performance. We find that all institutional investors show strong preferences for larger market capitalization stocks, stocks with international exposure and stocks included in indices. However, their preferences for price, leverage, turnover and other parameters differ. We also find that the preferences of these institutional investors are dynamic in nature and vary over time. It is observed that such preferences exhibited by institutions do not translate into concrete performance as manifested by lack of predictive power of stock returns in the following quarter. [ABSTRACT FROM AUTHOR]

This paper aims to study the stock market reaction around buyback announcements made during a 10-year period between 2000-01 and 2009-10 by taking the S&P CNX 500 index companies and dividing the period into normal and active market conditions. Through the standard event study methodology, it also intends to analyze the buyback information impact on stock returns during different conditions and comment on market efficiency in assimilating the information into prices. While evidencing semi-strong form of efficiency during the two periods considered, the study documents the different dosages in the reaction (signaling) of the Indian stock market to buyback announcements in accordance with differing market conditions considered. [ABSTRACT FROM AUTHOR]

This paper is an attempt to examine the reliability and usefulness of ex ante measures of portfolio formulation by selecting securities from a well-defined sampling frame. Four indices are employed to achieve the objectives of the study, namely, Sharpe index, Treynor index, Jensen index and Sortino index. Incorporation of the four indices helps in understanding theoretical underpinnings of both modern and post-modern portfolio theories. The study is conducted in the Indian context with special reference to S&P500 CNX NIFTY index, wherein the selection of the security for constructing the index is subject to three criteria: liquidity, market capitalization, and floating stocks. Using the Sharpe's algorithm, cut-off is calculated to formulate the portfolio of 26 stocks out of 50 stocks. A comprehensive analysis of each individual stock, portfolio, and index is presented with respect to their annualized returns, annualized standard deviations, betas, residual variances or deviations. This study provides a basis for a large section of investors, especially retail investors, for analyzing, selecting, and evaluating their portfolios as an index tracker onto some specific reference point. [ABSTRACT FROM AUTHOR]

This paper examines the resilience displayed by the spot indices S&P CNX Nifty, and two sectoral indices—CNX IT and Bank Nifty—of National Stock Exchange (NSE), one of the major stock exchanges in India, versus their respective futures contracts using Value-at-Risk (VaR) concept during dotcom and subprime mortgage crises over 2000-10 period. The study finds that losses based on one-day VaR at 95% confidence interval have been greater in the futures market than in their respective underlying spot markets, thereby implying that Indian derivatives market displays less resilience than its equity market. [ABSTRACT FROM AUTHOR]

For many years, researchers have argued that 'value strategies' outperform the 'growth strategies'. In this paper, we have attempted to explore this possibility in the Indian stock market and tried to find the magnitude and pattern of value premium, if any. The results indicated that value premium did exist in the Indian stock market during the study period, i.e., January 1996 to December 2010. The premiums were visible for both absolute performance measures like average returns and buy-and-hold returns, and risk-adjusted performance measures like Jensen's Alpha, Treynor's ratio, Sharpe's ratio and Fama measure. [ABSTRACT FROM AUTHOR]

This paper examines the 'stability' of beta coefficients over time in Indian equity market, both across calendar periods and across some 'control periods' or subperiods, corresponding to bull and bear phases in the market. We found some evidence of instability of betas over shorter time horizons. This instability reduces to a considerable extent when the beta estimation period increases. It is also observed that the extreme betas (both very low and very high) exhibit much higher stability than the intermediate range of betas. The analysis was done both at individual security level as well as portfolio level. Even though many previous studies indicated that portfolio betas are more stable than individual security betas, the results we obtained in case of portfolios, however, are more or less similar to that in case of individual stocks. [ABSTRACT FROM AUTHOR]

This paper investigates the short-run and long-run relationships between Indian stock market (represented by Sensex) and stock indices of major countries in the Asia-Pacific region. The results reveal significant correlation between Sensex and other indices. Moreover, the Granger causality test reveals unidirectional causality from the indices of the so-called Asian Tigers to Sensex. Furthermore, the Johansen cointegration test clearly shows that there exists a longrun relationship between Sensex and stock indices of these major countries. [ABSTRACT FROM AUTHOR]

The study investigates the interactions between changes in the exchange value of Indian rupee for dollar and euro, and returns on different indices of National Stock Exchange (NSE) in the Indian stock market using daily data of the last ten years. Sensitivity of dollar and euro is computed using Adler and Dumas (1984) model, along with impulse response function with some modifications. [ABSTRACT FROM AUTHOR]

This paper investigates the hedging effectiveness of the S&P CNX Nifty index futures by employing four competing models, viz., the simple Ordinary Least Squares (OLS) method, the Bivariate Vector Autoregressive (BVAR) model, the Vector Error Correction Model (VECM), and the multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) with error correction model. The hedge performances obtained from the different econometric models for the in-sample and out-of-sample periods are compared in terms of variance minimization criterion. [ABSTRACT FROM AUTHOR]

This paper examines whether there is any probable implication of derivatives expiration for the underlying spot market volatility. It is observed that in the Indian stock market, the expiration effect is not confined to expiration days but also the entire expiration week as well. The GARCH (1,1) estimation results indicate that for the entire period, the derivatives expiration days/weeks are the significant factors that augment the volatility of the spot market. The subperiod expiration day's upshot also emphasizes that the expiration days/weeks are the significant factors in increasing the stock market volatility. [ABSTRACT FROM AUTHOR]

This paper examines the relationship between the performance and ownership structure of a sample of 98 mid-cap companies listed on the National Stock Exchange (NSE) of India, as mid-cap sector is considered a high growth sector of the economy. In India, the shareholders are broadly divided into two categories-promoter shareholders and non-promoter shareholders. The study results suggest that promoters' shareholding (measure of concentration) is statistically significant in explaining performance. When concentration is treated as endogenous, the same is found to be dependent on performance. The study highlights that the ownership of high growth mid-cap companies of India continues to remain concentrated, even in the post-1992 economic liberalization, impacting the performance amid the general perception that substantial diffuseness has occurred. [ABSTRACT FROM AUTHOR]

Capital expenditure decisions have a long-term effect on the value of the firm. Extant literature posits that stock prices of companies increase very quickly to incorporate such information. However, limited research has been undertaken in this area in India and thus the motivation for the present study. This paper examines stock market reaction to the announcement of 493 capital expenditure decisions made by companies during the period January 1, 2004 to December 31, 2006. An event study methodology is used to examine the share price behavior around such announcements. Results indicate that the market reacts significantly on the day of announcement, thus reflecting that it views such decisions as value enhancing. The study also looks at the size effect of capital expenditure decisions. Results show that the reaction of the Indian stock market is statistically, positively significant for large investments, and positive but insignificant for small investments. The results of the study are in sharp contrast to the international evidence. [ABSTRACT FROM AUTHOR]

This paper examines price and liquidity effects associated with stock dividend (bonus) surrounding its announcement and effective day by using event studies methodology. The results show that while there is sufficient evidence of positive abnormal return associated just prior to and on the announcement day, there is no significant return observed on ex-bonus day. On the contrary, significant negative abnormal return was found in long post-effective window (ED to ED+51 days). However, there is a significant improvement observed in trading volume surrounding the announcement and effective day of bonus. [ABSTRACT FROM AUTHOR]

This study tests the presence of day-of-the-week effect with respect to the VIX (fear gauge) and its underlying market index Nifty 50 in India for a period from March 2009 to February 2016 using OLS and GARCH(1, 1) framework. Investors can use the day-of-the-week effects information to avoid and reduce the risk when investing in Indian stock market. The results report the presence of strong positive Monday effect and negative Tuesday and Thursday effects in the Volatility index of India, while in the case of Nifty Monday effect is not found but a weak positive Wednesday effect is present. In order to obtain robust results, the analysis is also presented for sub-periods. [ABSTRACT FROM AUTHOR]

Time Series (TS) data often exhibits a cyclical pattern. Security indices time series data is not an exception to that. Three forms of Indian security indices data are studied here for characterization of business cycles. These are of values, returns, and moving variance series of selected sectorial National Stock Exchange (NSE) indices together with the gross indices Nifty and Sensex by considering daily movements. The datasets are analyzed by Fast Fourier Transform (FFT), Short Time Fourier Transform (STFT) and wavelet-based methods with and without Hodrick and Prescott (H-P) filtering as pre-processing. The FFT analysis shows that most of the indices show business cycles of approximately quarterly duration, whereas wavelet studies identified some structural breaks in some of the considered datasets. [ABSTRACT FROM AUTHOR]

The study investigates the syndicates for 154 Initial Public Offerings (IPOs) issued during the period 2002-07. The findings indicate that the syndicate size is significantly influenced by the prestige of the investment banks, initial day return, leverage, offer size, and ex ante uncertainty. The variables market-adjusted initial return and leverage ratio show an inverse association with the magnitude of the syndicate, while the prestige of the lead bank, offer size, and ex ante uncertainty positively influence the syndicate size. Among the chosen variables, it is found that offer size, followed by the prestige of the top-rated bank and initial day return are relatively more superior in estimating the syndicate size. Further, the differences in the syndicate size across underpricing of IPOs are found statistically significant, explaining that syndicate structure helps in reducing underpricing and thus in improving the pricing accuracy. Over the sample period, syndicate structure is not uniform across the operational history of the firm, suggesting that the younger firms design a larger syndicate compared to the matured firms. [ABSTRACT FROM AUTHOR]

This study is an attempt to examine the interlinkages between equity prices of Bombay Stock Exchange Sensex (BSE Sensex) and select macroeconomic variables in India in a time series framework. In the first stage of the empirical investigation, the study tries to investigate both the long-run and short-run relationship of equity price (BSE Sensex) with macroeconomic variables, viz., Index of Industrial Production (IIP), Wholesale Price Index (WPI), interest rates (3-month T-bill rate), money supply (M3), Foreign Institutional Investments (FIIs) as well as Morgan Stanley Capital International (MSCI) world index in a cointegration and vector error-correction framework. In the next stage of the empirical investigation, the study explores the dynamic interrelationship of equity prices (BSE Sensex) with different macroeconomic indicators in a cointegrated Vector Autoregressive (VAR) framework by analyzing the impulse response functions and variance decomposition results. [ABSTRACT FROM AUTHOR]

The present study attempts to examine the random movements in stock indices in the Indian equity market. It tests the random walk hypotheses in daily, weekly and monthly returns of six Indian stock market indices from January 2000 to October 2009. The indices considered for the purpose of the study include Nifty, CNX Nifty Junior, NSE 500, SENSEX, BSE 100 and BSE 500. The study uses Jarque-Bera (JB) Test for testing normality in return series. It also applies Box Pierce Q-Statistics and Ljung-Box (LB) statistics, and Augmented Dickey-Fuller (ADF) test to test whether return series follow random walk or not. The results indicate that there are no random movements in share indices. However, when we apply Lo and MacKinlay (1988) variance ratio test under the assumptions of both homoskedasticity and heteroskedasticity, we observe contradictory results. It is also found that sometimes heteroskedasticity is the source of non-random behavior in share indices. [ABSTRACT FROM AUTHOR]