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