Is Indian stock market efficient: Evidence from sectoral indices

This paper investigates the deviations from efficiency in the return series and volatility return series of nine sectors of Indian market, covering the period from 01 January, 2004 to 31 December, 2013. The nine sectors studied are: Auto, Bank, Energy, Finance, FMCG, IT, Metal, Pharma and PSU-Bank. Global values of the Hurst exponent are calculated using the Detrended Fluctuation Analysis (DFA) technique. The study also employs the rolling window approach to calculate the time varying local Hurst exponent whose median value is used to quantify the degree of inefficiency of different sectors. The results indicate that the return series possess weak long range memory features, while the volatility series possess strong long memory features that change over time for all sectors.