Efficiency of indian capital market: a study of weak form of EMH on nifty

Weak form of efficient market hypotheses is an area of attraction for researchers and academicians as proved by numerous studies investigating efficient market phenomenon at global level. Basically, weak form advocates that the current stock prices fully reflect information content of historical prices. It also shows how quickly and accurately the market reacts to the new information. These studies have chosen different time intervals for investigations in the different market conditions. The present study is an attempt to revisit the applicability of weak form of Efficient Market Hypotheses in Indian Context. The data for closing prices were taken for Nifty, the Index of National Stock Exchange (India) for the period of 15 years starting from 1 April1996 to March 4, 2011. The statistical techniques like Kolmogorov-Smirnov Test, Skewness, Kurtosis, Scatter plot analysis, Sequence plot, Run test and Autocorrelation analysis had been applied using SPSS version 19 to examine the randomness of the data. It was found that Indian markets are random and successive index value changes are independent. The past index changes do not help the investor or analyst to forecast the future.