Testing weak Form of Capital Market Efficiency: An Empirical Evidence from BSE and NSE

Abstract

The rapid development of financial market gains the attention of investors towards stock market investment worldwide.  The stock market possesses the inherent feature of volatility because the world is uncertain and unpredictable. For understanding the stock market behaviour it is important to know about market efficiency. The testing of market efficiency assists the all stakeholders in learning the key aspects of market movement. Efficient market hypothesis (EMH) is the core of finance. Many advanced studies emphasized that stock market efficiency play a vital role in providing the true information to traders and reflects fair value on the current market price. The present study aims to analyse the efficiency of Indian stock market by taking weak form of market efficiency. The study evaluates the efficiency of Sensex (Benchmark of BSE) and Nifty (Benchmark of NSE). The efficiency is tested by taking closing values of indices from 31-03-2019 to 31-03-2020. For analysis the statistical tools auto correlation and serial correlation test were used.  The results obtained from the study revealed that market is not efficient and is not independent in both the market.