Weak Form of Market Efficiency: Evidences from Selected NSE Indices
P. K. Gupta
affiliation not provided to SSRN
Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India
Stock market efficiency is and important parameter to gauge the efficiency of a financial system. It assumes extreme importance especially in developing countries like India. The efficiency of Indian stock markets, especially the leading stock exchange of India - the NSE, attracts the attention of researchers and analysts in view of recent fluctuations in investments levels and the global financial turmoil. The efficiency tests conducted by the researchers so far have produced contradictory results and it is precisely difficult to comment on Indian stock market efficiency with definitiveness.
We found it interesting to examine the impact of various macro economic factors both on Indian and global front on Indian stock markets in relation to the rate and manner of incorporation of information, which is the concern of every economic participant in recent times. This paper therefore, attempts to seek evidence for the weak form efficient market hypothesis using the daily data for stock indices of the National Stock Exchange for the period of 1 January 2000 to 31 Oct 2008. We use Kolmogrov -Smirnov, Unit Root and run test to test weak-form efficiency.
Number of Pages in PDF File: 10
Keywords: Market Efficiency, National Stock Exchange
JEL Classification: G14working papers series
Date posted: October 15, 2010 ; Last revised: October 26, 2010
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 0.438 seconds