Market Efficiency in India: An Empirical Study of Random Walk Hypothesis of Indian Stock Market – NSE Midcap

12 Pages Posted: 5 Jan 2018

See all articles by Satish kumar

Satish kumar

IIMT University, school of commerce and management; SCHOOL OF COMMERCE AND MANAGEMENT; SCHOOL OF COMMERCE AND MANAGEMENT

Lalit Kumar

Dr. A.P.J. Abdul Kalam Technical University

Date Written: November 27, 2017

Abstract

As long as financial markets are concerned, for many years’ 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 Midcap 50 Index for a time period of 15 Sept 2010 - 28 Nov 2014. The existence of random walk for NSE Midcap Index has been examined through autocorrelation, Q-statistics and the 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 India 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: Autocorrelation tests, runs test, Random Walk Hypothesis (RWH), National Stock Exchange, NSE Midcap 50 F&O Index

JEL Classification: G0, G14

Suggested Citation

Kumar, Satish and Kumar, Lalit, Market Efficiency in India: An Empirical Study of Random Walk Hypothesis of Indian Stock Market – NSE Midcap (November 27, 2017). Available at SSRN: https://ssrn.com/abstract=3078089 or http://dx.doi.org/10.2139/ssrn.3078089

Satish Kumar (Contact Author)

IIMT University, school of commerce and management ( email )

O POCKET
GANGA NAGAR
MEERUT, UT
India

SCHOOL OF COMMERCE AND MANAGEMENT ( email )

O POCKET, GANGA NAGAR
MEERUT
Meerut, Uttar Pradesh 250103
India
9917100905 (Phone)

SCHOOL OF COMMERCE AND MANAGEMENT ( email )

O POCKET
GANGA NAGAR
MEERUT, UT
India

Lalit Kumar

Dr. A.P.J. Abdul Kalam Technical University

Lucknow, Uttar Pradesh
India

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