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A Study on the Efficiency of the Indian Stock Market (2012.01160v1)
Published 2 Dec 2020 in q-fin.GN, econ.GN, q-fin.EC, and q-fin.TR
Abstract: The efficiency of the stock market has a significant impact on the potential return on investment. An efficient market eliminates the possibility of arbitrage and unexploited profit opportunities. This study analyzes the weak form efficiency of the Indian Stock market based on the two major Indian stock exchanges, viz., BSE and NSE. The daily closing values of Sensex and Nifty indices for the period from April 2010 to March 2019 are used to perform the Runs test, the Autocorrelation test, and the Autoregression test. The study confirms that the Indian Stock market is weak form inefficient and can thus be outperformed.