Testing of Weak-Form Efficiency in Indian Capital Market

Lazar D. () and Nouroul Alim B.
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Lazar D.: Department of Commerce, Pondicherry University, Puducherry 605014, INDIA

Advances In Management, 2009, vol. 2, issue 10

Abstract: This paper tests the Weak-form efficiency of Indian capital market. A daily closing price of S&P CNX Nifty for the period from 3rd November, 1994 to 30th June, 2008 is included in the study. For the purpose of testing Weak-from (otherwise called Random Walk) the Unit Root tests – Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) tests were employed. The results of descriptive statistics of return series are not normally distributed that is series are in Random Walk. The Augmented Dickey-Fuller (ADF) and Phillips –Perron (PP) tests concluded that the Indian capital market is Weak-form efficient.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:mgn:journl:v:2:y:2009:i:10:a:2

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