Weak Form of Market Efficiency: Evidences from Selected NSE Indices

10 Pages Posted: 15 Oct 2010 Last revised: 26 Oct 2010

See all articles by P. K. Gupta

P. K. Gupta

affiliation not provided to SSRN

Saif Siddiqui

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India

Abstract

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.

Keywords: Market Efficiency, National Stock Exchange

JEL Classification: G14

Suggested Citation

Gupta, P. K. and Siddiqui, Saif, Weak Form of Market Efficiency: Evidences from Selected NSE Indices. Available at SSRN: https://ssrn.com/abstract=1355103 or http://dx.doi.org/10.2139/ssrn.1355103

P. K. Gupta

affiliation not provided to SSRN

Saif Siddiqui (Contact Author)

Centre for Management Studies, Jamia Millia Islamia (Central University), New Delhi, India ( email )

New Delhi
New Delhi, Delhi 110025
India

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