Market Integration as an Alternative Test of Market Efficiency: A Case of Indian Stock Market

Using the principle that market integration refutes market efficiency, an attempt is made in this paper to examine the Indian stock market efficiency by using two market integration approaches, viz., the Ravallion, and Cointegration and error correction approaches. The data used are the RBI monthly aggregate share indices relating to the all India, and five selected regional stock exchanges, viz., Bombay, Calcutta, Madras, Delhi and Ahmedabad, during the period 1980-1993. The results show that there is no evidence in favour of market efficiency of Bombay, Madras and Calcutta stock exchanges while contrary evidence is found in case of Delhi and Ahmedabad.