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Journal of Management Research and Analysis


AN EMPIRICAL STUDY ON EFFICIENT MARKET HYPOTHESIS OF INDIAN CAPITAL MARKETS


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Author Details : Anjala Kalsie, Jappanjyot Kaur Kalra

Volume : 2, Issue : 2, Year : 2015

Article Page : 108-114


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Abstract

The objective of this paper is to study the efficiency of Indian stock markets during the period 2001-2011. The weak form of efficient markets is extensively tested using NIFTY and 6 major NSE sectoral indices Pharma, IT, MNC, Bank, FMCG and Nifty Junior. Univariate time series analysis of indices returns is carried using tests for randomness / non-stationarity – runs test, unit root testing. ACF, correlograms and other relevant statistical methods. The study concludes that Indian markets are inefficient in its weak form for the study period.


Key words: Efficient market, Efficient market hypothesis, Random walk theory, Runs test, Auto correlation test.

How to cite : Kalsie A, Kalra J K, AN EMPIRICAL STUDY ON EFFICIENT MARKET HYPOTHESIS OF INDIAN CAPITAL MARKETS. J Manag Res Anal 2015;2(2):108-114

Copyright © 2015 by author(s) and J Manag Res Anal. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (CC-BY-NC 4.0) (creativecommons.org)