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Are Indian stock market’s efficient? : test of weak form efficiency in BSE and NSE

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conference contribution
posted 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.

Funding

Category 1 - Australian Competitive Grants (this includes ARC, NHMRC)

History

Parent Title

Proceedings of the 3rd International Conference on Contemporary Business

Start Page

1

End Page

14

Number of Pages

14

Start Date

01/01/2006

ISBN-10

1864671777

Location

Leura, NSW, Australia

Publisher

Faculty of Commerce, Charles Sturt University

Place of Publication

Bathurst, NSW

Peer Reviewed

Yes

Open Access

No

External Author Affiliations

Charles Sturt University; Faculty of Business and Informatics; TBA Research Institute;

Era Eligible

Yes

Name of Conference

International Conference on Contemporary Business