Informational Efficiency of Indian Capital Market: A Study on Stock Market Indices for the Period 1995-96 to 2004-05


Affiliations

  • St. Joseph's Evening College, Bangalore, India
  • Manipal University, Department of Commerce, India

Abstract

In an informationally efficient market, stock prices fully reflect all available information. The present study examines whether the Indian stock market is informationally efficient in the weak form. The study attempts to test whether the information contained in the past stock prices fully reflected in the present prices. The ADF unit root test, DW test to measure the autocorrelations in the residuals, autocorrelation and cross correlation tests on the returns tests of the four major stock price indices viz., Sensex, Nifty, S&P CNX 500 and BSE 100 for the 10 year period (1-4-1995 to 31-3-2005) have been conducted. The test results overwhelmingly vouch for the existence of the stock market efficiency in the weak form.

Keywords

ADF Unit Root Test, Autocorrelation, Cross Correlation.

Subject Discipline

Financial Management

Full Text:

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