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arxiv 2012.01160 v1 pith:LGKO4FX5 submitted 2020-12-02 q-fin.GN econ.GNq-fin.ECq-fin.TR

A Study on the Efficiency of the Indian Stock Market

classification q-fin.GN econ.GNq-fin.ECq-fin.TR
keywords marketstockindianefficiencytestformweakanalyzes
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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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.

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