Testing the Weak-Form Market Efficiency in the Indian Stock Market : Evidence from the Bombay Stock Exchange Index (BSE) Sensex

2017 ◽  
Vol 11 (3) ◽  
pp. 26 ◽  
Author(s):  
Venkata Rajasekhar Ryaly ◽  
G. V. Subba Raju ◽  
Bhargava Urlankula
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form ◽  
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 Weak form market efficiency test of Bangladesh Stock Exchange: an empirical evidence from Dhaka Stock Exchange and Chittagong Stock Exchange

2019 ◽  
Vol 21 (3) ◽  
pp. 285
Author(s):  
Shafir Zaman
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Empirical Evidence ◽  
Stock Markets ◽  
Stock Exchange ◽  
Investment Decision ◽  
Weak Form ◽  
Efficiency Test ◽  
Non Parametric ◽  
Weak Form Efficiency

Investors need to have an idea about stock market before making investment whether the stock markets are efficient or not to take investment decision in stock market. For that reason, measurement of market efficiency of stock market bears significance to investors. Bearing it in mind, the study is undertaken to find out the existence of weak form efficiency prevails in largest stock market of Bangladesh. In order to get perfect result Parametric and Non Parametric tests were conducted of DSE & CSE for 2013 to 2017. It was found from all tests that Dhaka and Chittagong Stock exchange are not weak form efficient. Therefore, the result of the study will act as a helping hand to researchers to find out the reason of Bangladesh stock market not being weak form efficient as well as providing measurement to make the stock market weak form efficient.

scholarly journals The market efficiency of the Tanzania stock market

2016 ◽  
Vol 11 (3) ◽  
pp. 75-86 ◽  
Author(s):  
Josephine Njuguna
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Stock Exchange ◽  
Unit Root Test ◽  
Weak Form ◽  
Ratio Test ◽  
Variance Ratio ◽  
Test Unit ◽  
Variance Ratio Test

The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period. Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange. JEL Classification: G14, G15

scholarly journals Testing for Weak-Form Market Efficiency in the Botswana Stock Market

2019 ◽  
Vol 7 (9) ◽  
pp. 134-140
Author(s):  
Mphoeng Mphoeng
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Stock Exchange ◽  
Weak Form ◽  
Efficient Market Hypothesis ◽  
Random Walk Process ◽  
Efficient Market ◽  
Foreign Companies ◽  
Domestic Companies

The theory of the Efficient Market Hypothesis (EMH) has been debated extensively. In this study the runs test was employed on the Botswana Stock Exchange daily Domestic Companies and Foreign Companies indices to test whether the Botswana stock market follows the random walk process and subsequently determine weak-form market efficiency. The results of the runs test showed that the indices do not follow the random walk process. As a result the Botswana stock market is determined to be weak-form market inefficient and rejects the efficient market hypothesis accordingly.

scholarly journals Market Efficiency and Integration: An Examination of Indian Stock Market

2003 ◽  
Author(s):  
Chandra Shekhar Bhatnagar
Keyword(s):  
Stock Market ◽  
Market Efficiency ◽  
Stock Price ◽  
Price Index ◽  
Weak Sense ◽  
Weak Form ◽  
Strong Form ◽  
Emerging Stock Markets ◽  
Stock Price Index ◽  
Indian Stock Market

This paper examines the efficiency and integration of the Indian stock market. The weak form of efficiency has been tested by studying the stationarity characteristics of theMSCI Stock Price Index of India. For testing the semi-strong form of efficiency and integration of the Indian Stock Market with the macro phenomenon of emerging stock markets of the world, the causality between the MSCI Stock Price Index of India and the MSCI EMF Index has been studied. The results point out that the Indian Stock Market is efficient in its weak sense. However, the same is not true for the semi-strong form of market efficiency. Therefore, the utility of a forecasting model having the macro phenomenon (MSCI EMF Index in the present case) as a forecasting variable cannot be ruled out.  

Efficiency of the Indian Stock Market : An Empirical Study

1995 ◽  
Vol 20 (2) ◽  
pp. 43-52 ◽  
Author(s):  
M S Belgaumi
Keyword(s):  
Correlation Analysis ◽  
Stock Market ◽  
Serial Correlation ◽  
Stock Exchange ◽  
Weak Form ◽  
Stock Exchanges ◽  
Independence Assumption ◽  
Share Prices ◽  
Short Period ◽  
Indian Stock Market

Based on an analysis of 70 companies listed in the ‘A’ list category on the Bombay Stock Exchange, this paper by Belgaumi is an attempt to test the weak form efficiency of the Indian stock market. By subjecting the weekly share prices to Serial Correlation Analysis and Runs Test, the author finds that the Indian stock exchanges are efficient in the weak form and that the independence assumption regarding the movements of share prices over short period holds good.

An Empirical Analysis of Behaviour of Stock Market Indices

Paradigm ◽  
2016 ◽  
Vol 20 (2) ◽  
pp. 216-235
Author(s):  
Sushil Bajaj ◽  
Naman Sethi
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
South Korea ◽  
Market Efficiency ◽  
Information Disclosure ◽  
Weak Form ◽  
Market Size ◽  
Statistical Tools ◽  
Potential Factors ◽  
Indian Stock Market

The present study aims to investigate the presence or absence of weak form market efficiency and unriddle the potential factors impacting the chaotic pattern of the stock market. The study carries the analysis by considering 12 countries’ indices categorized as developing and developed on the basis of their GDP. Five econometric tools were applied for accomplishing the objectives and it was evidenced that the American and Indian stock market are weak-form inefficient whereas most of the statistical tools adjudged three countries (i.e., Hong Kong, Singapore & South Korea) weak-form efficient. It was also unveiled in the study that settlement cycle, information disclosure, thinness of trading, trading hours, and market size could be the potential reasons impacting the weak form of efficiency of the stock market.

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