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LBS Journal of Management & Research
Year : 2013, Volume : 11, Issue : 1
First page : ( 87) Last page : ( 96)
Print ISSN : 0972-8031. Online ISSN : 0974-1852.

Testing Efficient Market Hypothesis for Indian Stock Market

Singh Narinder Pal

Head, Centre for Research in Finance, Guru Nanak Institute of Management, Road No. 75, West Punjabi Bagh, Delhi- 26

Online published on 5 September, 2013.

Abstract

The Efficient Market Hypothesis (EMH) as employed by Fama,postulated that asset prices fully reflect the information contained in a specified information set. Heclassified efficient market into three groups: weak, semi-strong, and strong form. The information set for weak form or random walk hypothesis is confined to historical market prices. The present study is focused to test the weak form of efficient market hypothesis for Indian stock markets during the select period from 23rd September, 2006 to 22nd September 2010, i.e. Sensex and Nifty using parametric and non-parametric tests, like JarqueBera, K-S test, ACF test and LB statistics, run test and unit root test. From the data analysis, we conclude that the random walk hypothesis for Nifty and Sensex is rejected during the whole period of study. In other words, Indian stock markets are inefficient in select four years period.

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Keywords

EMH, Efficiency, parametric, non-parametric, random walk etc.

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