Are Indian stock markets weak-form efficient?– evidence from NSE and BSE sectoral indices Srinivasan Palamalai and M Kalaivan
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TextPublication details: Hydrabad I UP Publication December 2015Description: 7 - 35 p. PaperSubject(s):
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MURTHY, E N FINANCIAL RISK MANAGEMENT
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The present study investigates the weak-form efficiency of Indian stock markets using both parametric and nonparametric tests, viz., autocorrelation test, augmented Dickey-Fuller test, runs test and variance ratio test. To test the market efficiency, the study considers the daily closing prices of 13 and 10 sectoral indices of Bombay Stock Exchange (BSE) and National Stock Exchange (NSE), respectively, along with the BSE SENSEX and CNX NIFTY. The empirical results provide evidences for the absence of the weak-form efficiency and random walk hypothesis in the case of all sectoral indices of NSE and BSE along with the CNX NIFTY and BSE SENSEX. Thus, trading strategies can be formulated by investors to gain abnormal returns in the Indian stock markets. And it can be inferred that there is a possibility of earning extra income on account of inefficiency in these market portfolios.
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