Testing Efficient Capital Market Model in Indian Subcontinent

Abstract

The stock market efficiency is one of the significant and widely debated
concepts of finance. It has its critics as well as advocates. The concept of
market efficiency helps in developing understanding of the working of stock
market. This study is intended to add to the reservoir of existing literature with
empirical evidences by testing weak form of efficiency of Indian stock market.
The present study documents the empirical evidence on price behavior by
testing the appropriateness of random walk model in the Indian stock market
for the period of 2001 -2011. The study offers supportive evidence for rejection of weak form of efficiency in Indian stock market by endorsing absence of randomness and independence in selected return series. Thus, it reveals drifts in market efficiency which offers avenues for devising profitable trading strategies to market participants.