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6. Testing of weak market efficiency in Indian Stock Exchange employing variance ratio test

Author

Miklesh Prasad Yadav and Madhu Arora

Subjects
Organizational Behavior and Human Resource Management, Profit (accounting), Public Administration, Strategy and Management, media_common.quotation_subject, Closing (real estate), Stock market index, Test (assessment), Unit root test, Stock exchange, Econometrics, Stock market, Arbitrage, Business, media_common
Abstract

The rational investors want to maximise their invested amount. It will happen only if one knows the possibility of arbitrage opportunity in market. If stock market is efficient, one cannot generate abnormal profit. The objective of the present study is to test the weak market efficiency of Indian Stock Market. The stock indices are Sensex and Nifty. The daily adjusted closing price of these two companies is collected from October 8, 2012 to October 5, 2018. The variance ratio test was employed to test the weak market efficiency. The result revealed that Indian market is not efficient. It is found that technical analysts can generate excess return in Indian Stock Market both in Sensex and Nifty.

Published
2020
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