The Testing of Efficient Market Hypotheses: A Study of Indian Pharmaceutical Industry

Abhay Kumar, Rashmi Soni, Iqbal Thonse Hawaldar, Meghna Vyas and Vaibhav Yadav
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Abhay Kumar: MPSTME-NMIMS University, Mumbai India,
Rashmi Soni: KJ Somaiya Institute of Management - Somaiya Vidyavihar University, Mumbai India
Iqbal Thonse Hawaldar: Department of Accounting and Finance, College of Business Administration, Kingdom University, Bahrain.
Meghna Vyas: Final Year Student (MBA Tech), NMIMS University, Mumbai, India.
Vaibhav Yadav: Final Year Student (MBA Tech), NMIMS University, Mumbai, India.

International Journal of Economics and Financial Issues, 2020, vol. 10, issue 3, 208-216

Abstract: The purpose of this study is to test whether the Indian pharmaceutical companies support efficient market hypotheses (EMH) and examine the efficiency of the Indian stock market in three forms, i.e., the weak, the semi-strong, and the strong form of market efficiency. For testing the weak form of efficiency, researchers collected stock price data of 10 listed pharmaceutical companies for the past six years, from 2012 to 2017 from the NSE website, and conducted a run test. To test the efficiency of semi-strong form, researchers collected data on the announcement of events like buyback, stock split, rights issue, dividend, bonus issue. They conducted an event study on the data. For testing the strong form of efficiency, researchers collected data consisting of NAV of some mutual funds (pharmaceutical funds) and the returns of a benchmarking index to compare. The study concludes that the pharmaceutical companies and Indian stock market is efficient in the weak form of EMH and not efficient in the semi-strong and strong form of EMH.

Keywords: Stock market efficiency; Buyback; Stock split; Rights issue; Dividend announcement; Bonus; Mutual funds; Benchmarking index. (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 G18 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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