Efficiency of India's Capital Market -- An Empirical Analysis
Author | : P. K. Mishra |
Publisher | : |
Total Pages | : |
Release | : 2016 |
ISBN-10 | : OCLC:1290702648 |
ISBN-13 | : |
Rating | : 4/5 (48 Downloads) |
Book excerpt: The concept of efficient market hypothesis is gaining importance in the aftermath of integration of India's economy with world economies. With the increasing relevance of FIIs, an informationally efficient capital market holds far reaching implications for its stable growth as well as for the economic growth of the political economy of a country. Thus, the understanding of efficiency of capital market of India in the dynamics of the stock markets is essential. There is sufficient evidence in favour of capital market efficiency in developed markets. But the same is often not valid in emerging markets. This paper studies the efficient market hypothesis in its weak form in the frame work of random walk model for NSE in India from 2001 to 2008. The ADF, DF-GLS, and PP tests are used to examine stock market efficiency. The results support that the stock markets of India do not follow random walk, rejecting the weak form efficient market hypothesis.