The weak-form efficiency of the Indian stock market: Fresh Evidence
Authors/Creators
- 1. Assistant Professor at The ICFAI University, Tripura
- 2. Research Scholar at Central University of Jharkhand
Description
The primary goal of the present research initiative is to determine if the Indian stock market follows a random walk or not. The data on eight nifty sectoral indices’ daily opening, closing, high and low values are taken from a website. The Augmented Dickey–Fuller test and the Phillips–Perron test is used to assessing the stationarity of the selected eight sectoral indices. The Variance ratio test is used to check for auto correlation between the returns and the Runs test is performed to examine if the stock market followed a random walk or not. The unit root tests show that the returns from the eight selected sectoral indices are integrated into order 1. According to the variance ratio test future stock prices can be forecasted by prior stock prices in the Indian stock market. The Runs test results indicate the returns are not random throughout the studied time frame.