Testing of Weak Market Efficiency in Indian Stock Market: An Empirical Study of Pharmaceutical Sector

Market efficiency concept is one of the vital interest areas for economists and researchers around the world. Pharmaceutical sector has seen quite a growth in recent past, as government around the world have made healthcare a priority sector. The target of the study is to examine whether the Indian financial market, with particular reference to the pharmaceutical sector, may be considered to be following a random walk. This study is centered on past price data of two indices and eight pharmaceutical companies’ stocks listed on national stock exchange for ten years. Analytical tools namely run test, unit root test and autocorrelation test have been utilized. Though results of tests are varying, we may conclude that the stock market in pharmaceutical sector lacks weak form of efficiency as the return series is neither stationary nor random.