Title: Testing of weak market efficiency in Indian Stock Exchange employing variance ratio test

Authors: Miklesh Prasad Yadav; Madhu Arora

Addresses: Fortune Institute of International Business (FIIB), Delhi, India ' RDIAS; Affiliated to: GGSIPU, 2A & 2B, Phase-1, Madhuban Chowk, Rohini, Delhi 85, India

Abstract: The rational investors want to maximise their invested amount. It will happen only if one knows the possibility of arbitrage opportunity in market. If stock market is efficient, one cannot generate abnormal profit. The objective of the present study is to test the weak market efficiency of Indian Stock Market. The stock indices are Sensex and Nifty. The daily adjusted closing price of these two companies is collected from October 8, 2012 to October 5, 2018. The variance ratio test was employed to test the weak market efficiency. The result revealed that Indian market is not efficient. It is found that technical analysts can generate excess return in Indian Stock Market both in Sensex and Nifty.

Keywords: variance ratio test; market efficiency; unit root test; random walk model.

DOI: 10.1504/IJPSPM.2020.110134

International Journal of Public Sector Performance Management, 2020 Vol.6 No.5, pp.632 - 641

Received: 18 Apr 2019
Accepted: 14 May 2019
Published online: 07 Oct 2020 *

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