Journal Press India®

An Empirical Study on Efficient Market Hypothesis: The Case of Indian Capital Markets

Vol 1, Issue 2, July - December 2014 | Pages: 71-83 | Research Paper  

 
Article has been added to the cart.View Cart (0)
https://doi.org/10.17492/mudra.v1i2.2467


Author Details ( * ) denotes Corresponding author

1. * Anjala Kalsie , Assistant Professor, Assistant Professor, University of Delhi, Delhi, India (kalsieanjala@gmail.com)

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.

Keywords

Efficient market, Efficient Market Hypothesis, Random Walk Theory, Runs Test, Auto Correlation test

  1. Bodie. Z, Kane. A & Marcus. A.J (2009). Investments. Singapore :McGraw Hill
  2. Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2).
  3. Fama, E. (1976). Efficient capital markets: Reply. The Journal of Finance. 31(1): 143-145.
  4. Fama, E. (1991). Efficient capital markets. The Journal of Finance. XLVI(5).
  5. Gujarati, Damodar N. & Sangeetha. (2007). Basic  Econometrics. McGraw-Hill.
  6. Hiremath, G S & Kamaiah, B. (2010).  Some further evidence on the behaviour of stock returns in India. International Journal of Economics and Finance, 2(2).
  7. Patrick, A & Sushama, R. (2011). Efficiency of stock markets - Comparing the behaviour of stock indices of NSE and NYSE. International Journal of Multidisciplinary Research, 1(8).
  8. Poshakwale, S.(1996). Evidence on weak form of efficiency and the day of the week effect in the Indian stock market. Finance India, X(3).
  9. Ramkumar, R. et al. (2012). An analysis of market efficiency in sectoral indices: a study with a special reference to Bombay Stock Exchange in India. European Journal of Scientific Research. 69(2): 290-297.
  10. Reilly & Brown. (2006). Investment Analysis and Portfolio Management. New Delhi: Cengage Learning.
Abstract Views: 289
PDF Views: 97

Advanced Search

News/Events

Institute of Managem...

Deccan Education Society Institute of Management Development and Re...

S.B. Patil Institute...

Pimpri Chinchwad Education Trust's S.B. Patil Institute of Mana...

D. Y. Patil IMCAM, A...

D. Y. Patil Institute of Master of Computer Applications & Managem...

Vignana Jyothi Insti...

Vignana Jyothi Institute of Management International Conference on ...

Department of Commer...

Department of Commerce, Faculty of Commerce & Business, University...

Birla Institute of M...

Birla Institute of Management Technology (BIMTECH) 3rd Pritam Singh M...

OP Jindal University...

OP Jindal University, India 4th International Conference on  ...

Department of MBA, N...

Department of MBA, Narayana Engineering College Nellore International...

Vignana Jyothi Insti...

Vignana Jyothi Institute of Management Conference Proceedings,...

Online Proceedings R...

Conference Proceedings, March 2023 ISBN: 978-81-956810-6-8 ...

By continuing to use this website, you consent to the use of cookies in accordance with our Cookie Policy.