The study makes an attempt to test the weak form efficiency of National Stock Exchange of India at the time of rolling Settlement. Rolling Settlement was introduced in NSE on 2nd July 2001. Autocorrelations and Ljung -Box tests were applied to find out the efficiency of the market in absorbing the structural changes that took place in the rolling settlement. The closing price of Nifty, Nifty junior, Midcap 200 and CNX 500 were selected for 30 days before and after the introduction of rolling settlement. The data were collected from nseindia.com. The empirical results exhibit that National Stock Exchange of India is efficient in absorbing the structural changes that took place in the rolling settlement. This ensures the weak form of market efficiency.
