Evolving Weak-Form Informational Efficiency of Indian Stock Market

This empirical study deals with the changing weak-form informational efficiency of Indian stock market in recent years. The data cover daily information on BSE-100 index for a period of nine years from January 4, 1993 to December 31, 2001. In order to assess the evolving weak-form efficiency over time, entire data period is partitioned into 18 sub-periods and spectral shape tests are carried out separately in each sub-period. Based on empirical results it is seen that the extent of informational efficiency (weak form) of Indian stock market fluctuated substantially from sub-period to sub-period. The market was considerably inefficient during each sub-period till June 1996, achieved high level of efficiency during July 1996 to December 1999 and showed efficiency at relatively lower level thereafter except little aberration during 2000.