Weak Form Efficiency In Indian Stock Markets

Gupta, Rakesh; Basu, Parikshit

doi:10.19030/iber.v6i3.3353

Cited by 68 publications

(59 citation statements)

References 28 publications

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“…Therefore, CSE do not follow random walk hypothesis and inefficient in weak form in our study period. Our findings have similarity with the study of Hasan (2015), Mudassar, Arshad, Maryam and Amir (2013), Chaity and Sharmin (2012), Khandoker, Siddik, and Azam (2011), Gupta and Basu (2007), Maghyereh (2003, Hassan, Islam, and Basher (2002). The trend of daily returns of CSE shows the opportunity of superior returns for market players.…”

Section: Resultssupporting

confidence: 91%

Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Hussain¹,

Nath²,

Bhuiyan³

2017

IJBSR

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We study the random walk behavior of Chittagong Stock Exchange (CSE) by using daily returns of three indices for the period of 2006 to 2016 employing both non-parametric test (run test) and parametric tests [autocorrelation coefficient test, Ljung-Box (LB) statistics]. The skewness and kurtosis properties of daily return series are non-normal, with a hint of positively skewed and leptokurtic distribution. The results of run test; autocorrelation and Ljung-Box (LB) statistics provide evidences against random walk behavior in the Chittagong Stock Exchange. Overall our result suggest that Chittagong Stock Exchange does not exhibit weak form of efficiency. Hence, there is opportunity of generating a superior return by the active investors.

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Section: Resultssupporting

confidence: 91%

Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Hussain¹,

Nath²,

Bhuiyan³

2017

IJBSR

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“…With the integration of international stock markets, the understanding of efficiency in emerging financial markets has become more important. Indeed, many recent studies examined the validity of the RWH in emergent economies including Brazil (Ely, 2011), Africa (Collins et al, 2011), China (Chong et al, 2012), India (Gupta and Basu, 2007), and Portugal (Borges, 2011). They reported unconformity with random walk hypothesis.…”

Section: Introductionmentioning

confidence: 99%

Do MENA stock market returns follow a random walk process?

Lahmiri¹

2013

ijiec

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In this research, three variance ratio tests; namely the standard variance ratio test, the wild bootstrap multiple variance ratio test, and the non-parametric rank scores test are adopted to test the random walk hypothesis (RWH) of stock markets in Middle East and North Africa (MENA) region using most recent data from January 2010 to September 2012. The empirical results obtained by all three econometric tests show that the RWH is strongly rejected for Kuwait, Tunisia, and Morocco. However, the standard variance ratio test and the wild bootstrap multiple variance ratio test reject the null hypothesis of random walk in Jordan and Kingdom of Saudi Arabia (KSA), while non-parametric rank scores test do not. We may conclude that Jordan and KSA stock market are weak efficient. In sum, the empirical results suggest that return series in Kuwait, Tunisia, and Morocco are predictable. In other words, predictable patterns that can be exploited in these markets still exit. Therefore, investors may make profits in such less efficient markets.

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“…Past data is thus shown to affect future data. A similar study using the ADF test in the context of the Indian stock market also rejected the null of unit root presence (Gupta and Basu, 2011).…”

Section: Resultsmentioning

confidence: 81%

Market efficiency of gold exchange-traded funds in India

Nargunam

Anuradha

2017

Financ Innov

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Background: Gold exchange-traded funds, since introduction, are primarily aimed at tracking the price of physical gold in the financial market. This, a category of exchange-traded funds, whose units represent physical gold, is traded on exchanges like any other financial instrument. In the Indian financial market, gold exchange traded funds were introduced a decade ago to facilitate ordinary households' participation in the bullion market. They were also designed to assist in the price discovery mechanism of the bullion market. Presentation of the hypothesis: In this paper, it is attempted to check if one of the constituents of price discovery mechanism, informational efficiency, has been achieved in gold exchange-traded funds' market. Information efficiency becomes evident only when all available information is reflected in the market price of the instrument. Testing the hypothesis: Therefore, in order to assess the weak-form efficiency of the gold exchange-traded funds market, the daily returns of five gold exchangetraded funds traded on the Indian Stock Exchange over the period March 22, 2010, to August 28, 2015, were used. The non-parametric runs test, the parametric serial correlation test, and the augmented Dickey-Fuller unit root test are employed.

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Weak Form Efficiency In Indian Stock Markets

Cited by 68 publications

References 28 publications

Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016)

Do MENA stock market returns follow a random walk process?

Market efficiency of gold exchange-traded funds in India

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