This paper examines the stock return behaviour in two premier Indian stock markets using Chow-Denning multiple variance ratio and Hinich bicorrelation tests. The former test overcomes size distortion of conventional variance ratio test. The latter test is capable of detecting linear and...

This paper examines non-linear dependence in Indian stock returns using a set of non-linearity tests. The daily data between 1997 and 2009 for eight indices from National Stock Exchange (NSE) and six indices from Bombay Stock Exchange (BSE) are used. The results suggest strong evidence of...

The purpose of this paper is to examine the issue of long memory stock returns of emerging markets. The study carries out a biased reduced semi parametric test to detect long memory in mean process. The results suggest no strong evidence of long memory in mean process of stock returns both in...