The Efficient Market Hypothesis (EMH) has been one of the dominant topics in the financial research literature. The main purpose of this study is to explore the existence of return continuation in the Indian Stock Markets, thus investigating its efficiency at the weak form level (Fama, 1970). Momentum strategies which buy stocks that have performed well in the past and sell stocks that have poor performances previously-generate significant positive returns. The daily momentum strategies can be executed by the investor to generate significant profits. The explanation of momentum remains challenge in literature. The behavioral factors may account for the momentum phenomena.
Indian Stock Markets, Market Efficiency, Momentum, Weak Form Market Efficiency
