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A Study on the Efficiency of the Indian Stock Market

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  • Devansh Jain
  • Manthan Patel
  • Aman Narsaria
  • Siddharth Malik

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.

Suggested Citation

  • Devansh Jain & Manthan Patel & Aman Narsaria & Siddharth Malik, 2020. "A Study on the Efficiency of the Indian Stock Market," Papers 2012.01160, arXiv.org.
    • Handle: RePEc:arx:papers:2012.01160
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    References listed on IDEAS

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    1. Achal Awasthi & Oleg Malafeyev, 2015. "Is the Indian Stock Market efficient - A comprehensive study of Bombay Stock Exchange Indices," Papers 1510.03704, arXiv.org.
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