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Does Daily or Monthly Index Returns Make Difference in Market Efficiency? An Empirical Study of BSE and NSE Indices

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Author Affiliations

  • 1Institute of Management Studies, Devi Ahilya Vishwavidyalaya, Indore, MP, India
  • 2Maharaja Ranjit Singh College of Professional Sciences, Indore, MP, India

Res. J. Management Sci., Volume 5, Issue (11), Pages 7-14, November,6 (2016)

Abstract

Stock market efficiency refers to an ability of the concern stock market to obtain, incorporate in and replicate out the significant information in stock prices rapidly and perfectly, and reflected in corresponding indices. The present study explored and tested empirically Weak Form of Stock Market Efficiency of selected sectoral indices of Bombay Stock Exchange and National Stock Exchange by taking Daily and Monthly Index Returns. Natural returns in the index values have been considered by taking log difference changes for period from April, 2006 to March, 2015. Descriptive Statistics was used to test the normality of the Daily Index Returns and Monthly Index Returns. Weak Form Stock Market Efficiency of the selected sectoral indices of BSE and NSE were tested by non-parametric Runs Test by taking daily index returns and monthly index returns separately to judge difference in the result outcome of Weak Form Efficiency of stock market arising out of returns type.

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