Can Stock Indices Bear the News of Indian Capital Market

An index bears the news of a stock market or a country where it exists. So it is a barometer of a country's economy. It is also getting used as information source in many researches. But this could be properly happen if Indian market follow random walk hypothesis. This implies that price manipulation at Indian capital market will not be possible. But since its liberalisation and gloabalisation. Indian capital markets have experienced various kinds of price rigging. Sensex at Bomaby Stock Exchange and S&P CNX Nifty at National Stock Exchange are the main two indices at Indian stock market. Authors have analysed five years daily return (from 15t January 2004 to 3 I 5t December 2008) of S&P CNX Nifty and Sensex to check the price behaviour of these two indices. Various statistical tests do not give any definite conclusion about randomness of their return.