Structural Change and Efficiency in the Indian Stock Market: An Econometric Analysis

Authors

  • Arup Kr. Chattopadhyay
  • Debdas Rakshit
  • Payel Chatterjee

DOI:

https://doi.org/10.33516/rb.v44i2.81-94p

Keywords:

Bombay Stock Exchange (BSE), National Stock Exchange (NSE), Run Test, Q Statistic, Autocorrelation Function (ACF), Unit Root, Autoregressive Conditional Heteroskedasticity (ARCH), Generalized Autoregressive Conditional Heteroskedasticity (GARCH)

Abstract

Stock Market Efficiency is an important underlying condition for investment strategies and other financial decisions. This study aims at examining the Weak Form of Efficiency in the Indian Stock Market.

For the purpose of the study weekly data of two major indices of two stock exchanges namely, Sensex of BSE and S & P CNX Nifty of NSE are taken into account for the study period January 2000 to January 2018. Due to a relatively long period database the existence of break is analyzed and tested segregating the data in two parts, viz., before break and after break, identified both graphically and mathematically. In order to test the weak form of efficiency four measures based on four features of time series namely, Randomness, Stationarity, Autocorrelation and Volatility are applied.

The findings of the study are found contradictory in nature in relation to Randomness, Stationarity and Autocorrelation but there exists significant volatility in both BSE and NSE before and after break. So the Indian stock market is found to be inefficient in Weak Form before break and after break when the literature on Efficiency gives due importance to volatility measures.

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Published

2018-07-01

How to Cite

Chattopadhyay, A. K., Rakshit, D., & Chatterjee, P. (2018). Structural Change and Efficiency in the Indian Stock Market: An Econometric Analysis. Research Bulletin, 44(2), 81–94. https://doi.org/10.33516/rb.v44i2.81-94p

Issue

Volume 44, Issue 2, July 2018

Section

Articles
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