EMPIRICAL ANALYSIS OF EFFICIENT MARKET HYPOTHESIS OF SELECTED INDIAN SECURITIES

Abstract

This paper attempts to examine the weak form of Efficient Market Hypothesis w.r.t. capital market in India. This study will help the investors in portfolio selection. Sample data is used for the period of 11 February 2013 to 10 February 2014. Daily data for 8 stocks were collected and the weak form of the market was analyzed with the help of Auto Correlation test and Run test. The result of Run test shows that weak form of market exist for daily price movement of stocks but weak for of efficiency does not hold good for all the stock in Autocorrelation test. This study focused that with the help of strong and adequate supervision by the regulations and authorities, efficiency of market can be improved and weak form may be converted into semi strong and strong form.