Testing Weak Form Efficiency: Firm Level Analysis at the National Stock Exchange

The Indian Economic Journal, Vol. 55, No., 2. pp. 162-175, July-September 2007

16 Pages Posted: 8 Nov 2010 Last revised: 12 Jan 2015

See all articles by Khan Masood Ahmad

Khan Masood Ahmad

Jamia Millia Islamia (A Central University)

Shahid Ashraf

Jamia Millia Islamia (A Central University)

Shahid Ahmed

Jamia Millia Islamia (A Central University) - Economics

Date Written: 2007

Abstract

This paper attempts to seek evidence for the weak form of efficient market hypotheses using the daily data on returns for stock prices of 24 listed firms on the Indian stock market during the period 2000-2004. These 24 firms have a major presence in terms of weights in the indices, trading volumes and market capitalisation. The Jarque-Bera test, unit root test, autocorrelation function, Ljung-Box (Q) statistics and Kolmogorov-Smirnov (K-S) test have been used for the analysis. The distributions of the underlying variables are not normal for all the firms through the Jarque-Bera test and for most of the firms through the K-S test. The Q statistics which tests the joint null hypothesis of zero autocorrelation, shows that the number of firms, which are inefficient, comes down from 13 firms in the first period to 6 firms in the second period. The results vary across tests and sub periods indicating that stock prices for most of the firms do not support the hypothesis of independence and randomness. The important firms, which have significant autocorrelation in both periods, are ONGC, Infosys, SAIL and Grasim. The existence of informational inefficiency is an incentive for investors to pick up under valued stocks on the Indian stock market.

Suggested Citation

Ahmad, Khan Masood and Ashraf, Shahid and Ahmed, Shahid, Testing Weak Form Efficiency: Firm Level Analysis at the National Stock Exchange (2007). The Indian Economic Journal, Vol. 55, No., 2. pp. 162-175, July-September 2007. Available at SSRN: https://ssrn.com/abstract=1705481

Khan Masood Ahmad

Jamia Millia Islamia (A Central University)

Jamia Nagar, New Delhi
Delhi, Delhi 110025
India

Shahid Ashraf

Jamia Millia Islamia (A Central University) ( email )

Jamia Nagar, New Delhi
Delhi, Delhi 110025
India

Shahid Ahmed (Contact Author)

Jamia Millia Islamia (A Central University) - Economics ( email )

Jamia Nagar
New Delhi, 110025
India

HOME PAGE: http://jmi.ac.in/economics/faculty-members/Prof_Shahid_Ahmed-1783

Register to save articles to
your library

Register

Paper statistics

Downloads
18
Abstract Views
359
PlumX Metrics