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- Title
EMPIRICAL EVIDENCE FROM UNIT ROOT TEST FOR WEAK FORM MARKET EFF ICIENCY: SPECIAL REFERENCE TO BROAD BASED INDIAN STOCK MARKET INDICES.
- Authors
Kumar, N. Venkatesh; Babu, M. Ganesh
- Abstract
Examination of market efficiency especially in the context of developing markets plays a paramount role in order to structure informed investment decision and facilitates the existing and prospective investors to construct a well-diversified portfolio. This paper examines the presence of weak-form of market efficiency attributing to the random walk model in Indian Stock Market by considering the broad based market indices such as National Stock Exchanges' NIFTY, NIFTY 500 and Bombay Stock Exchanges' SENSEX, BSE 100, BSE 200 and BSE 500 for the period between 2000 and 2016 (17 years). During the study period, selected indices' daily returns have shown nonnormality, homogeneity of mean and variance. Runs test for randomness, Auto-Correlation Function (ACF) and Augmented Dickey-Fuller (ADF) Unit root test have indicated statistically significant results and accentuates that the selected broad based market indices remained weak-form inefficient during the study period.
- Subjects
INDIA; NATIONAL Stock Exchange of India Ltd.; STOCK exchanges; INVESTMENTS; DECISION making in business; EFFICIENT market theory
- Publication
XIBA Business Review, 2017, Vol 3, Issue 1/2, p1
- ISSN
2349-6576
- Publication type
Article