Weak Form Efficiency Of Indian Stock Market – An Empirical Analysis With Sub – Periods
Journal Title: International Journal of Business and Management Invention - Year 2018, Vol 7, Issue 5
Abstract
Market efficiency of Indian stock market based on the daily return of NSE Nifty and BSE Sensex form 1 January 1994 to 31 December 2015 is tested by applying Unit root, Autocorrelation, Run test and Variance ratio methodologies for seven sub-periods based on the trends and patterns in the movements of Indian market. The unit root tests like ADF and PP proved that the Indian stock market is non-stationary and contains a unit root. The auto correlation results are also revealed high degree of dependence on previous prices, which means that previous prices are related with current prices. The strong autocorrelation behaviour of the variable leads to non stationarity situation in data series, which means that the stock market movements are not in predictable manner. The run test results also proved that there is no randomness in Indian stock market. The results from the sub periods for each test are also giving the results which support the whole study period results. It clearly proved real behaviour of Indian stock market. From the results, it is clear that the Indian stock market does not follow random walk and it is in inefficient in its weak form.
Authors and Affiliations
Mr. Suresh T. S
Keywords
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