An Analysis of Weak Form Efficiency in Sectoral Indices: A Study with a Special Reference to National Stock Exchange in India
Journal Title: IJAR-Indian Journal of Applied Research - Year 2015, Vol 5, Issue 3
Abstract
Capital market is one of the significant phases of every financial institution and now it’s playing- a stra tegic role in a country’s economic growth. Apprehend that stock market is the backbone of our country it is essential to analyses the weak form efficiency of Indian stock market so as to assess the efficiency of Indian stock market and give suggestions to the investors to make their decisions on their investment. For the purpose of the study, the biggest stock exchange National Stock Exchange has been selected. The study has used the daily closing price of the stock from 1st Apr 2013 to 31st Mar 2014 comprising total of seven sectors. To test the Market Efficiency the study has used both parametric and non parametric tests like Run Test, Autocorrelation, and Augmented Dickey Fuller test. These tests are used to analyze randomness, independence, stationality for the data collected. To test the volatility TGarch has been used. The study reveals drifts in market efficiency which offers investors a diversified way to make their investment activities in effective manner.
Authors and Affiliations
K. Hemalatha, Dr. V. R. Nedunchezian
Keywords
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