Testing Weak Form Market Efficiency: Empirical Evidence from India

The paper examines the validity of the Weak form of Efficient Market Hypothesis on the Indian stock market using the daily data. Specifically, this paper examines the market efficiency in three parts with respect to the global melt down held in mid 2007. In this paper Augmented Dickey-Fuller unit root test and Variance Ratio test are applied for testing the market efficiency. Again Lo and MacKinlay Variance Ratio test has been employed to capture the heteroscedastic issues. The empirical findings suggests that although the stock returns are inefficient in both the pre-crisis and crisis periods, but it is more inefficient in the crisis period and that in post-crisis period tends to be efficient.