Exploring the Efficiency of Indian Capital Market with Reference to S and P BSE Bankex Stocks

The investments in stock markets largely depend on the flow of market information. The information flow has got its effect in the returns of the investors. In the market efficiency analysis, it is evident that the investors cannot earn abnormal returns as the market information is available to everyone. Banking sector is considered as one of the major indicator of economic development. The performance of S and P BSE Bankex over the study period has witnessed significant volatility as many major reforms were initiated by the Reserve Bank of India. Hence the present study analysed the weak form efficiency of Indian Banking sector over the period April 2007 to March 2013 using various econometric models namely Stationarity test, Runs Test and Autocorrelation analysis. The findings evidenced the share prices of selected sample banking companies were independent. The results of the study were helpful in deciding the timing of investments in banking stocks for investors.