Testing of Weak form Market Efficiency: Empirical Evidences from the Indian Stock Market

The stock market efficiency describes how effectively investor expectations are translated in security prices. In other words, in a perfectly efficient market all securities are correctly priced. There are no under or over priced securities. In this research paper, an attempt has been made to examine the stock market efficiency in weak form by keeping the discussion a realistically logical and simple. The main purpose of this study is to make an analysis of monthly stock prices. The sample for this study consists of 152 companies of Bombay Stock Exchange (BSE's) has taken for best representation. To get the good conclusion of the study all companies are taken on random basis. Data related to ten years starting from the 1st January 1998 to 31st December 2007 is taken to make the study effective. It is examine with the help of non parametric test-Runs test. The results of runs test suggest that, in general, successive price changing appear random in the most of the stocks and suggests the existence of no pattern in aggregate monthly price movements.