Testing weak form stock market efficiency on bombay stock exchange of india
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Call for Papers - Entrepreneurship. Call for Papers - Civil Eng ineering. Random Walk Hypothesis, Weak-Form Market Efficiency, Indian Stock Market, Bombay Stock Exchange, Autocorrelation Test, Unit Root Test, Variance Ratio Test.
Testing Weak Form Market Efficiency of Indian Stock Markets | Nikunjkumar Patel - umypecodayok.web.fc2.com
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Testing the Weak-Form Market Efficiency in the Indian Stock Market : Evidence from the Bombay Stock Exchange Index (BSE) Sensex | Ryaly | Indian Journal of Finance
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Testing the Weak-Form Market Efficiency in the Indian Stock Market: Evidence from the Bombay Stock Exchange Index BSE Sensex. Subba Raju 2 , Bhargava Urlankula 1.
Abstract Performance of the stock markets is considered as a very important tool to measure the performance of the economy. In recent years, the Indian stock market has witnessed a tremendous growth in all the facets of trading , that is, number of companies listed, market capitalization, membership, value of trading ,volume of trading per day, and so forth.
The Indian benchmark stock index SENSEX by June had grown massively to over 27, This unprecedented growth in the Indian stock market raises the interest over the efficiency of the stock market. The present paper tested the weak-form of market efficiency in the Indian stock market by testing the random walk hypothesis in the return series.
According to the random walk hypothesis, the stock movements are random and unpredictable. Weighted index of the Bombay Stock Exchange SENSEX was examined for the study from to July by using daily data and weekly data.
A battery of tests were applied on the data , that is, autocorrelation test, unit root test, and variance ratio test. The empirical evidence found from the autocorrelation test conclusively rejected the serial dependency in the series observed, and hence proclaimed the existence of the random walk hypothesis in the Indian stock market. ADF, DF-GLS, PP, and KPSS tests were performed to find the significance of unit root, and the results from the unit root test were consistent with the autocorrelation test.
Similar and very strong evidence was found from the results of the variance ratio test also. Reasonable empirical evidence was found to prove the weak-form of market efficiency in the Indian stock market through this paper.
Keywords Random Walk Hypothesis, Weak-Form Market Efficiency, Indian Stock Market, Bombay Stock Exchange, Autocorrelation Test, Unit Root Test, Variance Ratio Test G1, G10, G14, G15 Paper Submission Date: Advertise Digital Edition Ahead of Print Current Issue Subscription Registration. Designed and developed by:
