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  • Testing Weak form Efficiency in the Indian Capital Market

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    Author(s)
    Gupta, R
    Yang, J
    Griffith University Author(s)
    Gupta, Rakesh
    Year published
    2011
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    Abstract
    Market Efficiency Hypothesis is an important notion for investors who wish to hold internationally diversified portfolios. If markets were not efficient task of constructing an internationally diversified portfolio for an investor will be an onerous task. With the increased movement of investments into emerging markets, greater importance is being given to the understanding of the market efficiency in emerging markets. In this paper we test the weak form efficiency or random walk hypothesis for the two major equity markets (BSE and NSE) in India for the period 1997 to 2011. Results of market efficiency are mixed as: for ...
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    Market Efficiency Hypothesis is an important notion for investors who wish to hold internationally diversified portfolios. If markets were not efficient task of constructing an internationally diversified portfolio for an investor will be an onerous task. With the increased movement of investments into emerging markets, greater importance is being given to the understanding of the market efficiency in emerging markets. In this paper we test the weak form efficiency or random walk hypothesis for the two major equity markets (BSE and NSE) in India for the period 1997 to 2011. Results of market efficiency are mixed as: for quarterly data, all three methods ADF, PP and KPSS tests support the weak form efficiency for later sample period 2007 to 2011, but slight conflict for earlier period 1997 to 2007 as only PP test shows weak form inefficiency; for monthly data, all three test method are consistent on the weak form efficiency for the period 2007 to 2011 and not efficient for earlier period 1997-2007. For daily and weekly data, all three test methods reject weak form efficiency during all sample periods.
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    Journal Title
    International Research Journal of Finance and Economics
    Volume
    75
    Publisher URI
    http://www.eurojournals.com/finance.htm
    http://www.eurojournals.com/IRJFE_75_08.pdf
    Copyright Statement
    © 2011 EuroJournals Publishing, Inc. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Applied economics
    Econometrics
    Banking, finance and investment
    Investment and risk management
    Publication URI
    http://hdl.handle.net/10072/44046
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    • Journal articles

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