Indian Journal of Research in Capital Markets

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Testing the Weak Form Efficiency with Respect to Sectoral Indices of National Stock Exchange Limited, India


Affiliations
1 Professor and Head, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India
2 Guest Lecturer in Business Administration, Bharathidasan University Model College, Vedaranyam, Nagapattinam District - 614 810, Tamil Nadu, India
3 Ph.D Research Scholar, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India

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The capital market is a vital institution as it facilitates economic development of a country. Investors need to know the efficiency of the stock market to invest their hard-earned money in a profitable way, while the policy makers need the latest information about different indices to devise appropriate policies. Thus, the efficiency of sectoral indices could also help the government to identify efficient sectors and to channel available resources for the growth of such sectors. This paper proposes to investigate the capital market efficiency in NSE (National Stock Exchange) sectoral indices by using daily share price returns. The aim of this study was to examine the weak form efficiency of the selected indices listed in NSE. The study found from the results of sectoral indices that NSE could not be considered under weak form efficiency during the study period.

Keywords

Capital Market, Sectoral Indices, NSE Indices, Runs Test, and Autocorrelation Function Test

C22, C58, G10, G14

Paper Submission Date : December 5, 2015 ; Paper sent back for Revision : February 15 , 2016 ; Paper Acceptance Date : March 22, 2016.

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  • Testing the Weak Form Efficiency with Respect to Sectoral Indices of National Stock Exchange Limited, India

Abstract Views: 187  |  PDF Views: 0

Authors

Murugesan Selvam
Professor and Head, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India
Ramachandran Rajesh Ramkumar
Guest Lecturer in Business Administration, Bharathidasan University Model College, Vedaranyam, Nagapattinam District - 614 810, Tamil Nadu, India
Kasilingam Lingaraja
Ph.D Research Scholar, Department of Commerce and Financial Studies, Bharathidasan University, Tiruchirappalli - 620 024, Tamil Nadu, India

Abstract


The capital market is a vital institution as it facilitates economic development of a country. Investors need to know the efficiency of the stock market to invest their hard-earned money in a profitable way, while the policy makers need the latest information about different indices to devise appropriate policies. Thus, the efficiency of sectoral indices could also help the government to identify efficient sectors and to channel available resources for the growth of such sectors. This paper proposes to investigate the capital market efficiency in NSE (National Stock Exchange) sectoral indices by using daily share price returns. The aim of this study was to examine the weak form efficiency of the selected indices listed in NSE. The study found from the results of sectoral indices that NSE could not be considered under weak form efficiency during the study period.

Keywords


Capital Market, Sectoral Indices, NSE Indices, Runs Test, and Autocorrelation Function Test

C22, C58, G10, G14

Paper Submission Date : December 5, 2015 ; Paper sent back for Revision : February 15 , 2016 ; Paper Acceptance Date : March 22, 2016.