EVIDENCE OF WEAK FORM HYPOTHESIS ON THE INDIAN STOCK MARKET THROUGH THE USE OF UNIT ROOT TEST

Abhijit Dutta; Padmabati Gahan

Volume : V, Issue : IX, September - 2016

EVIDENCE OF WEAK FORM HYPOTHESIS ON THE INDIAN STOCK MARKET THROUGH THE USE OF UNIT ROOT TEST

Abhijit Dutta, Padmabati Gahan

Abstract :

This study is directed at studying the efficiency of the market by using a period of fifteen years data from the NIFTY and try to understand whether the EMH in its weak form hold good for the market or not. In the study unit root test confirms the random walk whereas the other two methods reject it. Since the variance ratio test is more powerful than the usual Dickey Fuller test we can safely conclude that random walk does not hold good for the Indian Market at this period of time. The results are consistent for all the three split periods.