Empirical Analysis of Weak Form Efficiency Evidence from National Stock Exchange of India Ltd

Authors : S. AYYAPPAN, S. Nagarajan, M. SAKTHİVADİVEL, K. PRABHAKARAN

Pages : 0-0

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Publication Date : 2013-06-01

Article Type : Other Papers

Abstract :Özet: The stock market is an emerging area for research and this work analysis the efficiency of National Stock Exchange of India Ltd (NSE) and focuses on Board Indices and CNX Nifty. The National Stock Exchange of India Ltd has five indices like Broad Market Indices, Sectoral Indices, Thematic Indices, Strategy Indices and Customised Indices. The main objective of is to find out efficiency level and random walk nature of National Stock Exchange of India Ltd by testing Broad Indices of the National Stock Exchange of India Ltd with the help of Descriptive Statistics, Runs Test, and Augmented Dickey Fuller test (ADF) for the Indices return during the year Jan 2008 to Jan 2013. The result found that the linear dependence is existed in the NSE (Broad Market Indices) returns and it is determined from the analysis that the Broad Market Indices in National Stock Exchange India Ltd is not weak-form efficient.
Keywords : Market Efficiency, NSE, Runs Test, Autocorrelation, ADF