Associate Professor, Department of Commerce with Professional Accounting, PSG College of Arts and Science, Coimbatore, India. nithyadamodharan@gmail.com
Online published on 12 December, 2017.
Market efficiency is a focal point and main theme of traditional finance for long period of time. Stock markets are seen as efficient in reflecting information on individual stocks and stock market as a whole. The market efficiency can be of weak-form, semi-strong form and strong form. The data for a period of 6 years from 2011 to 2016 have been taken for 50 companies listed in S&P CNX Nifty of National Stock Exchange. With the employment of runs test and autocorrelation, the weak form of market efficiency has been tested. AARs, CAARs and t-test have been calculated to test the semi-strong form efficiency with regard to dividend announcements. Performance measures are employed to test strong form efficiency. Results of the study clearly disclosed that the stock market follows random walk that is, the market is efficient in both weak form and semi-strong form and not efficient in strong form.
Market Efficiency, Weak form, Semi-Strong form, Strong form, Indian Stock Market, Abnormal Returns
