* Department of Business Management, C. V. Raman College of Engineering, Bhubaneswar.
** Department of Commerce, KBDAV (A) College, Nirakarpur, Khurda, Orissa-752019.
Online published on 11 January, 2012.
The sole objective of this study is to test the weak form market efficiency of Bombay Stock Exchange and National Stock Exchange. A random walk test is performed for weak form efficiency. The testing of market efficiency of the market was executed by stock exchange's daily closing prices from April 1999 to April 2011. We accept that BSE and NSE are efficient because the levels of trade volume and market capitalization of shares are mostly high. In order to test weak form efficiency hypothesis, we analyzed runs tests. ACF test which is well known popular test for the testing of the market efficiency has also been tested. The run test is also used as a powerful tool to test of random walk in the stock market indices. In this paper, an analysis of two popular stock indices from each Stock Exchange is carried out to test the efficiency level in Indian Stock market and the random walk nature of the stock market by using the run test and the autocorrelation function ACF (k) for the period.
Random Walk, Market Efficiency, Hypothesis testing, weak-form market efficiency
