A Study on the Efficiency of the Indian Stock Market

TL;DR

This paper evaluates the weak form efficiency of the Indian stock market using statistical tests on Sensex and Nifty data, concluding that the market is inefficient and can be potentially outperformed.

Contribution

It provides an empirical analysis of the Indian stock market's weak form efficiency using multiple statistical tests over a nine-year period.

Findings

Indian stock market is weak form inefficient

Market can be outperformed based on test results

Analysis covers BSE and NSE indices from 2010 to 2019

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.