Evolving Weak-Form Informational Efficiency of Indian Stock Market

2004 ◽  
Vol 2 (1) ◽  
pp. 66-75 ◽  
Author(s):  
G. P. Samanta
Keyword(s):  
Stock Market ◽  
Weak Form ◽  
Informational Efficiency ◽  
Indian Stock Market

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals Testing for efficiency in the Saudi stock market: does corporate governance change matter?

2020 ◽  
Author(s):  
Mamdouh Abdulaziz Saleh Al-Faryan ◽  
Everton Dockery
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Stock Prices ◽  
Hurst Exponent ◽  
Weak Form ◽  
Long Range Dependence ◽  
Informational Efficiency ◽  
Variance Ratio ◽  
Wald Tests ◽  
Random Walk Hypothesis

Abstract We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

scholarly journals Crash occurrence probability and stock market efficiency the indie stock exchange case via Shannon entropy

2012 ◽  
Vol 2 (2) ◽  
pp. 158 ◽  
Author(s):  
Boubaker Adel ◽  
Sahli Lamia
Keyword(s):  
Stock Market ◽  
Shannon Entropy ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Informational Efficiency ◽  
Stock Market Index ◽  
Market Index ◽  
Symbolic Time Series Analysis ◽  
The Relationship

In this study, we evaluate the relationship between efficiency and probability of the crash, thus the evolution of the daily informational efficiency is measured for the indie stock market index. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using a new method the Shannon entropy and the symbolic time series analysis. A logit model is applied in order to study the relationship between efficiency and probability of the financial crash.

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