Are Indian stock market’s efficient? : test of weak form efficiency in BSE and NSE
conference contributionposted on 06.12.2017, 00:00 by Rakesh Gupta, P Basu
Market Efficiency Hypothesis is an important concept for an investor who wishes to hold an internationally diversified portfolio. The understanding of efficiency of the emerging markets is gaining greater importance as the movement of investments is accelerating into these markets as a consequence of integration of the emerging markets with the more developed markets. In this paper we test the weak form efficiency or random walk hypothesis for the two major equity markets in India for the period 1991 to 2006. We employed three different tests - ADF, PP and the KPSS and found consistent results. The results of these tests confirmed that these markets are not weak form efficient.