An Analysis of Weak Form Efficiency in Sectoral Indices: A Study with Reference to National Stock Exchange

K. Hemalatha; Dr. V. R. Nedunchezian

Volume : IV, Issue : VII, July - 2015

An Analysis of Weak Form Efficiency in Sectoral Indices: A Study with Reference to National Stock Exchange

K. Hemalatha, Dr. V. R. Nedunchezian

Abstract :

Capital market plays an pivotal role in the growth of economy and meeting country�s socio economic goals. They are an important constituent of the financial system, given their role in the financial intermediation process and capital formation of the country. Apprehend that stock market is the backbone of our country it is essential to analyses the weak form efficiency of Indian stock market so as to assess the efficiency of Indian stock market and give suggestions to the investors to make their decisions on their investment. For the purpose of the study, the biggest stock exchange National Stock Exchange has been selected. The study has used the daily closing price of the stock from 1st Apr 2009 to 31st Mar 2014 comprising total of seven sectors. To test the Market Efficiency the study has used tests like Augmented Dickey Fuller test, pp Phillip Perron test, Runs Test and Autocorrelation. These tests are used to analyze stationary, randomness, efficiency for the data collected. To test the volatility T-Garch has been used. The study reveals drifts in market efficiency which offers investors a diversified way to make their investment activities in effective manner.