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Article Details :: |
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| Article Name : | | | TESTING WEAK FORM EFFICIENCY OF INDIAN STOCK MARKET WITH REFERENCE TO NSE | | Author Name : | | | Rameen Devi,Sanjeev Bansal | | Publisher : | | | Ashok Yakkaldevi | | Article Series No. : | | | ISRJ-608 | | Article URL : | |  | Author Profile | | Abstract : | | | This paper attempts to investigate the weak form efficiency on Indian stock market. Firstly, the paper discusses types of efficient market hypothesis and then the literature available on the same. This study uses daily closing price observations of CNX NIFTY over the period of 1st april 2014 to 31st march 2015, comprising a total of 342 observations and apply the runs test and autocorrelation test in order to judge the efficiency of Indian stock market. The autocorrelation test when directly applied on share prices gives conflicting results with runs test and thus, making it difficult to reach at any final decision. Then the autocorrelation is applied to first differenced series, which gives satisfactory results and suggest that NSE is weak form efficient. | | Keywords : | | - weak form of efficiency
- indian stock market
- efficient market hypothesis
- runs test
- autocorrelation
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