Relevance of efficient market hypothesis: a study of present scenario in India
Journal Title: Journal of Management Research and Analysis - Year 2016, Vol 3, Issue 2
Abstract
The Indian stock market has witnessed several peaks and troughs in the span of last few years. It has now become a serious concern among the economists, traders and policy developers to deal with such volatility. The stock market volatility impacts over the economic stability of the country. So it is necessary to understand the movement of stock market. Several researches in this field deals with different opinion amongst which random walk theory and efficient market theory is of great apprehension. In the world of speculation, is the market efficient enough to reflect the price movement? This paper is an attempt to test the market efficiency theoretically and empirically with respect to the publicly or privately available information and simultaneously effort has been made whether, the prices can be predicted through past data. The major finding using 14 years monthly average data of BSE Sensex ranging from January 2000 to May 2014, via autocorrelation test and student t test (whether public news have any impact over the stock price) after applying unit root test reveals that the stock prices are random in nature. The past data set has no reflection over the security prices in the capital market. Simultaneously the public news too has no significant impact over the security prices and thereby the market becomes inefficient in terms of available information.
Authors and Affiliations
Bishwajeet Bhattacharjee, Sumita Dave, Shikha Sondhi
Keywords
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