Are Asian Stock Markets Weak-Form Efficient: An Evidence from India

Aman Srivastava

Jaipuria Institute of Management, Sector – 62, Noida - 201012, U.P., India,
E-mail: amansri@hotmail.com

Abstract

Market efficiency of the stock markets has been a great concern for researcher from a long time. The market environment is changing over the period of time and uncertainty in the environment is also increasing           day-by-day. The vast majority of efficient market research to date has focused on the major United States and European securities market. Far fewer have investigated the developing and less developed countries markets; and very few studies on this area have been performed on the India stock markets. The study seeks evidence supporting the existence of at least weak-form efficiency of the market. The sample includes five most popular stock indices on the national stock exchange of India (NSE) for the period of January 1998 to December 2009. The hypothesis of the study is whether the Indian Stock Markets are weak form efficient. The analysis carried out in this paper is to test the efficiency level in Indian Stock market and the random walk nature of the stock market by using the run test, autocorrelation function ACF (k) and unit root test for the period from. The study carried out in this paper has presented the evidence of the weak and efficient forms of the Indian Stock Market.

Keywords: Random Walk, Market Efficiency, Stock Markets, India