Influence of Periodicity Bias on the Market Efficiency: Empirical Evidences from Indian Stock Markets

In recent year’s investors, portfolio managers and researchers have been keenly engaged in studying the behaviour of stock market prices and a market is considered efficient if its mechanism is vibrant enough to reflect relevant information in the prevailing stock price. In academics, market efficiency is sub-divided into three forms-‘weak’ ,’semi-strong’ and ‘strong’. 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. Weak form stipulates that current prices of stock already fully reflect all the information that is obtained in the historical sequence prices. It is examine with the help of statistical tool- serial correlation on the sample monthly stock prices of 152 companies of BSE from 1^st January to 31^st December 2007. It concludes that successive price changes were independent of the previous month price changes.