Abstract
Özet: The stock market is an emerging area for research and this work analysis the efficiency of National Stock Exchange of India Ltd (NSE) and focuses on Board Indices and CNX Nifty. The National Stock Exchange of India Ltd has five indices like Broad Market Indices, Sectoral Indices, Thematic Indices, Strategy Indices and Customised Indices. The main objective of is to find out efficiency level and random walk nature of National Stock Exchange of India Ltd by testing Broad Indices of the National Stock Exchange of India Ltd with the help of Descriptive Statistics, Runs Test, and Augmented Dickey Fuller test (ADF) for the Indices return during the year Jan 2008 to Jan 2013. The result found that the linear dependence is existed in the NSE (Broad Market Indices) returns and it is determined from the analysis that the Broad Market Indices in National Stock Exchange India Ltd is not weak-form efficient.
Keywords
References
- Abraham, A., Seyyed, F. J & Alsakran,S. A. (2002). Testing the Random Walk Behavior and Efficiency of the Gulf
- Stock Markets. The Financial Review, vol. 37, no.3,. 469-480. Amalendu Bhunia. (2012). Stock Market Efficiency in India: Evidence from India. Universal Journal of Marketing and Business Research, Vol 1, 72 – 78.
- Amihud, Y & Mendelson H. (1987). Trading Mechanisms and Stock Returns: An Empirical Investigation. The Journal of Finance, Vol. 42, No. 3, 533-553.
- Ananthi, M & Dinesh. S. (2012). Testing the Semi-Strong form Efficiency of Indian Stock Market with respect to the Information content of Profit Booking Announcement. International Journal of Multidisciplinary Research, Vol. 2, Issue 1, 137 – 148.
- Bharath, M & Shankar. H. (2012). Market Efficiency of Indian Stock Market – A Study of Bonus Announcement in
- Bombay Stock Exchange. Indian Journal of Applied Research, Vol. 2, No. 1 45 – 49. Divyang J Joshi. (2012). Testing Market Efficiency of Indian Stock Market. International Journal of Scientific and Research, Vol. 2, Issue 6, 1 – 4.
- Khan, A. Q., & Sana Ikram. (2010). Testing Semi-Strong Form of Efficient Market Hypothesis in Relation to the Impact of Foreign Institutional Investors’ (FII’s) Investments on Indian Capital Market. International Journal of Trade,
- Economics and Finance, Vol.1, No.4, 373 – 379. Mayowa Gabriel Ajao., & Richard Osayuwu. (2012). Testing the Weak Form of Efficient Market Hypothesis in
- Nigerian Capital Market. Accounting and Finance Research. Vol. 1, No. 1, 169 – 179. Nikunj R. Patel., Nitesh Radadia & Juhi Dhawan. (2012). An Empirical Study on Weak-Form of Market Efficiency of
- Selected Asian Stock Markets. Journal of Applied Finance & Banking. vol.2, no.2, 98 – 148. Pandey, I. M. (2010). Financial Management. New Delhi, India. Vikas Publishing House Pvt Ltd.
- Prashant Joshi. (2008). Market Integration and Efficiency of Indian Stock Markets: A Study of NSE. NSE Working paper.
- Punithavathy Pandian. (2009). Security Analysis and Portfolio Management. New Delhi, India. Vikas Publishing House Pvt Ltd.
- Sunil Poshakwale. (1996) Evidence on Weak form Efficiency and Day of the Week Effect in Indian Stock Market.
- Finance India, Vol. X, No. 3, 605. 616. Tariq Zafar, S. M. (2012). A Systematic Study to Test the Efficient Market Hypothesis on BSE Listed Companies before Recession. International Journal of Management and Social Sciences Research (IJMSSR)Vol. 1, No. 1, 37 –
- Terence Tai-Leung Chong., Sam Ho-Sum Cheng., & Elfreda Nga-Yee Wong. (2010). A Comparison of Stock Market
- Efficiency of the BRIC Countries. Technology and Investment, 2010, Vol 1, 235 – 238.
- Kinjal Jethwani & Sarla Achuthan. (2013). Stock Market Efficiency and Crisis: Evidence from India. Asia-Pacific and Accounting Review, Vol. 1, No. 2, pp 38 – 43.
- Sajeela Rabbani., Nida Kamal., & Mahwash Salim. (2013). Testing the Weak-Form Efficiency of the Stock Market:
- Pakistan as an Emerging Economy. Journal of Basic and Applied Scientific Research, Vol. 3, No. 4, pp 136 – 142.
Abstract
Özet: The stock market is an emerging area for research and this work analysis the efficiency of National Stock Exchange of India Ltd (NSE) and focuses on Board Indices and CNX Nifty. The National Stock Exchange of India Ltd has five indices like Broad Market Indices, Sectoral Indices, Thematic Indices, Strategy Indices and Customised Indices. The main objective of is to find out efficiency level and random walk nature of National Stock Exchange of India Ltd by testing Broad Indices of the National Stock Exchange of India Ltd with the help of Descriptive Statistics, Runs Test, and Augmented Dickey Fuller test (ADF) for the Indices return during the year Jan 2008 to Jan 2013. The result found that the linear dependence is existed in the NSE (Broad Market Indices) returns and it is determined from the analysis that the Broad Market Indices in National Stock Exchange India Ltd is not weak-form efficient.
References
- Abraham, A., Seyyed, F. J & Alsakran,S. A. (2002). Testing the Random Walk Behavior and Efficiency of the Gulf
- Stock Markets. The Financial Review, vol. 37, no.3,. 469-480. Amalendu Bhunia. (2012). Stock Market Efficiency in India: Evidence from India. Universal Journal of Marketing and Business Research, Vol 1, 72 – 78.
- Amihud, Y & Mendelson H. (1987). Trading Mechanisms and Stock Returns: An Empirical Investigation. The Journal of Finance, Vol. 42, No. 3, 533-553.
- Ananthi, M & Dinesh. S. (2012). Testing the Semi-Strong form Efficiency of Indian Stock Market with respect to the Information content of Profit Booking Announcement. International Journal of Multidisciplinary Research, Vol. 2, Issue 1, 137 – 148.
- Bharath, M & Shankar. H. (2012). Market Efficiency of Indian Stock Market – A Study of Bonus Announcement in
- Bombay Stock Exchange. Indian Journal of Applied Research, Vol. 2, No. 1 45 – 49. Divyang J Joshi. (2012). Testing Market Efficiency of Indian Stock Market. International Journal of Scientific and Research, Vol. 2, Issue 6, 1 – 4.
- Khan, A. Q., & Sana Ikram. (2010). Testing Semi-Strong Form of Efficient Market Hypothesis in Relation to the Impact of Foreign Institutional Investors’ (FII’s) Investments on Indian Capital Market. International Journal of Trade,
- Economics and Finance, Vol.1, No.4, 373 – 379. Mayowa Gabriel Ajao., & Richard Osayuwu. (2012). Testing the Weak Form of Efficient Market Hypothesis in
- Nigerian Capital Market. Accounting and Finance Research. Vol. 1, No. 1, 169 – 179. Nikunj R. Patel., Nitesh Radadia & Juhi Dhawan. (2012). An Empirical Study on Weak-Form of Market Efficiency of
- Selected Asian Stock Markets. Journal of Applied Finance & Banking. vol.2, no.2, 98 – 148. Pandey, I. M. (2010). Financial Management. New Delhi, India. Vikas Publishing House Pvt Ltd.
- Prashant Joshi. (2008). Market Integration and Efficiency of Indian Stock Markets: A Study of NSE. NSE Working paper.
- Punithavathy Pandian. (2009). Security Analysis and Portfolio Management. New Delhi, India. Vikas Publishing House Pvt Ltd.
- Sunil Poshakwale. (1996) Evidence on Weak form Efficiency and Day of the Week Effect in Indian Stock Market.
- Finance India, Vol. X, No. 3, 605. 616. Tariq Zafar, S. M. (2012). A Systematic Study to Test the Efficient Market Hypothesis on BSE Listed Companies before Recession. International Journal of Management and Social Sciences Research (IJMSSR)Vol. 1, No. 1, 37 –
- Terence Tai-Leung Chong., Sam Ho-Sum Cheng., & Elfreda Nga-Yee Wong. (2010). A Comparison of Stock Market
- Efficiency of the BRIC Countries. Technology and Investment, 2010, Vol 1, 235 – 238.
- Kinjal Jethwani & Sarla Achuthan. (2013). Stock Market Efficiency and Crisis: Evidence from India. Asia-Pacific and Accounting Review, Vol. 1, No. 2, pp 38 – 43.
- Sajeela Rabbani., Nida Kamal., & Mahwash Salim. (2013). Testing the Weak-Form Efficiency of the Stock Market:
- Pakistan as an Emerging Economy. Journal of Basic and Applied Scientific Research, Vol. 3, No. 4, pp 136 – 142.
Details
| Journal Section | Review Article |
|---|---|
| Authors | |
| Publication Date | June 1, 2013 |
| Published in Issue | Year 2013 Volume: 6 Issue: 2 |
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