Weak form efficiency of Indian foreign exchange market

The present study examines the efficiency of the Indian foreign exchange market in its weak form using autocorrelation test, runs test and augmented dickey fuller test. It considers daily foreign exchange data for INR- USD exchange rate for a period of eight years i.e. from April 2002 to March 2010. The finding of this study is that the Indian foreign exchange market is efficient in its weak form and therefore follows a random walk process. Therefore, the opportunity of making excess returns in the market is ruled out.