Contact No: +91-8826373757 | +91-8826859373 | 011-25052216
Email: rakesh.its@gmail.com | editor@innovativepublication.com

Journal of Management Research and Analysis


AN EMPIRICAL STUDY ON EFFICIENT MARKET HYPOTHESIS OF INDIAN CAPITAL MARKETS


Full Text PDF


Author Details: Anjala Kalsie, Jappanjyot Kaur Kalra

Volume : 2

Issue : 2

Online ISSN : 2394-2770

Print ISSN : 2394-2762

Article First Page : 108

Article End Page : 114


Abstract

The objective of this paper is to study the efficiency of Indian stock markets during the period 2001-2011. The weak form of efficient markets is extensively tested using NIFTY and 6 major NSE sectoral indices Pharma, IT, MNC, Bank, FMCG and Nifty Junior. Univariate time series analysis of indices returns is carried using tests for randomness / non-stationarity – runs test, unit root testing. ACF, correlograms and other relevant statistical methods. The study concludes that Indian markets are inefficient in its weak form for the study period.


Key words: Efficient market, Efficient market hypothesis, Random walk theory, Runs test, Auto correlation test.

Doi No:-10.18231