An empirical study of weak form of market efficiency: A case of energy stocks of India

Efficiency of financial market depends upon how quickly market assimilates new information. In weak form of efficient market, current price reflects all the information contained in past price. Hence, there are no linear as well as non-linear dependences with the lagged values and price process has no memory, thus follows a random walk model.

The study has been done to examine the random walk hypothesis to determine the validity of weakform efficiency for CNX Energy. Everyday returns from April 1, 2004 to March 31, 2014 for the CNX Energy are used in this paper. The random walk hypothesis is examined using two statistical methods, namely a serial autocorrelation test, a non-parametric runs test. The statistical tests are conducted for full sample period.