文章基本信息

标题：Testing Weak Form Efficiency in Indian Market with Special Reference to Banking Sector
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作者：M.Tamilselvan ; Sathyamoorty.Manikandan
期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2021
卷号：11
期号：5
页码：439-452
DOI：10.6007/IJARBSS/v11-i5/9972
语种：English
出版社：Human Resource Management Academic Research Society
摘要：Market Efficiency is an important area of research in behavioral finance and lot of effort has been expended for improving econometric models since rational market facilitates in to better investment and risk management. In this direction this paper attempts to evaluate the random walk hypothesis by using unit root tests in the context of Indian stock market. The main objective of the stock market efficiency is rational utility maximization where the investors are not consistently earning abnormal return using the information and beating the market. The Efficient Market Hypothesis (EMH) asserts that the stock prices reflect the available information about the stocks fundamental. The study has used the daily closing price of banking sector index and 12 banking stocks listed and actively traded in National Stock Exchange 1stJanuary 2008 to 23rd October2015. To test the market efficiency, the study has used three prominent unit root tests such as Augmented Dickey-Fuller test (ADF), Phillips-Perron test (PP), and Kwiatkowski-Phillips-Schmidt-Shin test statistic (KPSS) test. The test results reveal that the NSE-Bank Index and its 12 stocks are found to be weak form inefficient, so that trading strategies can be formulated by investors to gain abnormal returns. There is possibility of earning abnormal return using naïve buy and hold strategy.