Assistant Professor, Department of Commerce, Guru Gobind Singh College for Women, Chandigarh (UT), India. manpreet319@yahoo.com
Online published on 11 April, 2018.
The present study is undertaken to examine efficiency of the Indian stock market in its weak form. Augmented Dickey Fuller, Phillips-Perron and Runs tests are applied to check weak form efficiency. The data consists of monthly closing values of BSE Sensex, BSE 500, BSE 200 and BSE 100 for period extended from January 2010 to February 2018. The results indicated that the Indian stock market is not weak form efficient and does not follow a random walk process. Therefore, it is concluded that study of historical prices is still useful. Stock exchange traders and investors have the opportunity of making abnormal returns in the stock market using past prices data.
Random walk, Weak form efficiency, Augmented Dickey Fuller, Phillips-Perron Runs test
