An Empirical Study on Efficient Market Hypothesis of Indian Capital Market (NSE Sectorial Indices)

C.A. Dr. D.S. Patil; Ms Pooja Yadav

Title:
An Empirical Study on Efficient Market Hypothesis of Indian Capital Market (NSE Sectorial Indices)

Authors:
Ms Pooja Yadav | C.A. Dr. D.S. Patil
DOI:
https://doi.org/10.31142/ijtsrd23108

Cite This Article :

Ms Pooja Yadav | C.A. Dr. D.S. Patil "An Empirical Study on Efficient Market Hypothesis of Indian Capital Market (NSE Sectorial Indices)" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management, March 2019, pp.222-225, URL: https://www.ijtsrd.com/papers/ijtsrd23108.pdf

Download

Abstract :
As long as financial markets are concerned, for many year’s economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Indian stock market is efficient, if the stock returns follow a random walk. The study employs daily closing prices of NSE Sectorial Indices for a time period of 1 April, 2008 to 31 March, 2018. The existence of random walk for NSE Sectorial Indices has been examined through auto correlation, run test and finds that the Indian stock market was not efficient in the weak form during the testing period. The results suggest that the stock prices in Indian do not reflect all the information in the past stock prices and abnormal returns can be achieved by investors through exploiting the market inefficiency.

Keywords :
Auto correlation tests, run test, Random walk Hypothesis (RWH), 7 NSE Sectorial Indices viz. Pharma, Bank, IT, Financial Services, FMCG, Auto, MNC

Publication Details:

Unique Identification Number : IJTSRD23108

Published In : Special Issue | Fostering Innovation, Integration and Inclusion Through Interdisciplinary Practices in Management, March 2019

Page Number(s) : 222-225

Publisher Name : IJTSRD | www.ijtsrd.com | E-ISSN 2456-6470

Copyright © 2019 by author(s) and International Journal of Trend in Scientific Research and Development Journal. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0) (http://creativecommons.org/licenses/by/4.0)

About IJTSRD
Indexing

International Journal of Trend in Scientific Research and Development - IJTSRD having online ISSN 2456-6470. IJTSRD is a leading Open Access, Peer-Reviewed International Journal which provides rapid publication of your research articles and aims to promote the theory and practice along with knowledge sharing between researchers, developers, engineers, students, and practitioners working in and around the world in many areas like Sciences, Technology, Innovation, Engineering, Agriculture, Management and many more and it is recommended by all Universities, review articles and short communications in all subjects. IJTSRD running an International Journal who are proving quality publication of peer reviewed and refereed international journals from diverse fields that emphasizes new research, development and their applications. IJTSRD provides an online access to exchange your research work, technical notes & surveying results among professionals throughout the world in e-journals. IJTSRD is a fastest growing and dynamic professional organization. The aim of this organization is to provide access not only to world class research resources, but through its professionals aim to bring in a significant transformation in the real of open access journals and online publishing.