Analysis of Sectoral Market Efficiency- A Study on Banking Sector

Abstract

The sectoral analysis quantifies the key parameters of the economy. The analysis of different sectors of economy facilitates the Government to use it as the reference guide for the formulation of economic policy. The sectoral analysis is a summary that explains the economic growth report covering different industries. The sectoral analysis of our economy focuses on the key points of the latest reforms initiated by the Government of India. In addition, the study of this nature, analyses the efficiency of corporate sectors in the stock market. The banking industry is the core sector of the economy and therefore this paper tests the market efficiency across the companies under banking sector, listed at the BSE, by using the daily closing share prices from Jan 2006 to Dec 2009. The parametric and non-parametric tests were used for analysing the sectoral efficiency of sample banking companies and it is found that the banking sector was efficient during the study period.

Keywords: Market Efficiency, Autocorrelation, Runs Test and Sectoral Analysis

JEL Classification: G00, G10