Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices


  • Rajesh Elangovan Department of Commerce, Bishop Heber College (Autonomous), Affiliated to Bharathidasan University, Tiruchirappalli, India
  • Francis Gnanasekar Irudayasamy Department of Commerce, St. Joseph’s College (Autonomous), Affiliated to Bharathidasan University, Tiruchirappalli, India
  • Satyanarayana Parayitam Department of Management and Marketing, Charlton College of Business, University of Massachusetts Dartmouth, Dartmouth, Massachusetts, USA


Efficient market hypothesis, Unit root, ADF test, Autocorrelation, Indian stock market



Despite volumes of research on the efficient market hypothesis (EMH) over the last six decades, the results are inconclusive as some studies supported the hypothesis, and some studies rejected it. The study aims to examine the market efficiency of the Indian stock market.


For analysis, nine Bombay Stock Exchange (BSE) broad market indices were selected covering the study period from 01 January 2011 to 31 December 2020. The data collected for this study are daily open, high, low and closing prices of selected indices. The tools used in this study are: (1) unit root test to check the stationarity of time series, (2) descriptive statistics, (3) autocorrelation and (4) runs test.


The empirical findings of the study reveal that BSE broad market indices do not follow a random walk and Indian stock market is as weak-form inefficient.

Research limitations/implications

The findings from this study provide several avenues for future research. One of the research implications is that anomalies in the statistical results by different academicians in the finance area need to be explained by future researchers.

Practical implications

Investment companies need to understand that extraordinary skills are required to beat the market to make abnormal returns. In an inefficient market where securities do not reflect the complete available information, it is challenging for the investment brokers to convince the customers about the portfolios they recommend to the public that the rate of return would be more than expected.

Social implications

As economic growth is related to the growth in the financial sector, developing countries like India depend on the accuracy of the information. In the presence of asymmetric information, the fluctuations in the stock market would have serious harmful consequences on the economy.


Amid several controversies surrounding the EMH testing, this study is a modest attempt to provide evidence that the Indian stock market is in weak-form inefficient. However, it is essential to link investors' behaviour and trends observed in the financial sector to fully understand the implications of EMH.

DOI: https://doi.org/10.1108/JEFAS-04-2021-0040


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How to Cite

Elangovan, R., Gnanasekar Irudayasamy, F., & Parayitam, S. (2022). Testing the market efficiency in Indian stock market: evidence from Bombay Stock Exchange broad market indices. Journal of Economics, Finance and Administrative Science, 27(54), 313–327. Retrieved from https://revistas.esan.edu.pe/index.php/jefas/article/view/637