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Efficient Market Hypothesis in the Indian Stock Market

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International Journal of Management, Technology And Engineering ISSN NO : 2249-7455

Efficient Market Hypothesis in the Indian Stock Market

S. Vijay Kumar1* and Asmath Ruhi2

12
Department of Business Management
Stanley College of Engineering & Technology for Women
Hyderabad
12
[email protected]

Abstract
The investment decision is made under the simple premise that the securities are worth
more than their current price, while securities that they are selling are worth less than the
selling price. However, if markets are efficient and current prices fully reflect all
information, then trading securities is an attempt to outperform the market and will
effectively be a game of chance rather than skill. The Efficient Market Hypothesis (EMH)
states that at any given time, security prices fully reflect all available information based
on various factors like company disclosures, company announcements, dividend policy of
company etc., and these factors are also used as a tool to predict the future prices of
stocks. The focus of the present study is on the Weak form Efficiency, which is one of the
three different degrees of EMH. Weak form Efficiency claims that past price movements
do not affect a stock’s price and cannot be used to predict its future movement of the
price. This study attempts to test the companies listed on the SENSEX of the Bombay
Stock Exchange for Weak Form EMH for the period from 1st April 2017 to 31st March
2018. By implementing parametric and non-parametric statistical tools like the
Autocorrelation, Correlogram, Runs Test, along with descriptive statistics on the weekly
closing prices of the 31 companies listed on the SENSEX, an attempt is made to find out
whether there is any relationship between the future prices of stock and their past
performance through EMH.

Keywords: Efficient Market Hypothesis, Equity, India, Sensex, Stock Market, Weak
form

1. Introduction

When a market is said to be efficient, it means that the prices of the securities
reflect their actual worth. The market incorporates all information into the prices
of the securities in a rapid and unbiased manner. In other words, a market in which
the prices of securities reflect fully all available information is called an efficient
market.
The efficient market hypothesis (EMH) is an investment theory proposed by
Eugene Fama, in the 1970’s. It states that the security prices fully reflect entire
available information is based on various factors like company disclosures,
company announcements, dividend policy of firm, firm fundamentals and changes
in the government policy etc.
According to the EMH theory, the price of a financial instrument (bond, share,
etc.) reflects all the information currently available. The main reason for this
perfect price of securities is that, if one stock happens to trade even a little cheap
or too costly, then its demand increases or decreases, leading to a rapid movement

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in its price to its most reasonable value. Under EMH, the stock are always traded
at their sufficient fair value on stock exchanges, and it is impossible for the
general investors to either purchase depreciated value stocks or sell stocks for
inflated prices because in efficient market at any point of time the actual price of a
security will be a good estimate of its intrinsic value. It is impossible to
outperform the stock market, through expert stock selection or market timing. The
only way for an investor to earn higher returns is by investing is riskier securities.

2. Variants of Efficient Market Hypothesis

There are three variants of the efficient market hypothesis: 1. Weak form
Efficiency or Random Walk Theory, 2. Semi-Strong Efficiency and 3. Strong
form Efficiency

(i)Weak form Efficiency

Weak form efficiency, also known as the random walk theory, states that future
securities' prices are random and not influenced by past events and investors can
not earn super-normal profits (excess profits) from trading strategies based on past
prices or returns.

(ii)Semi-Strong Efficiency
The semi-strong form of Efficiency claims both that prices reflect all publicly
available information and that prices instantly change to reflect new public
information such as market information of the past returns, prices and trading
volumes of the stock and non-market information such as earnings, dividend
announcements, other ratios and news about the overall economy. Investors, who
based their decisions on the information that becomes public, cannot gain above-
average returns and only traders with access to non-public information can earn
excess profits.

(iii)Strong Form Efficiency

The strong form of efficiency additionally claims that prices instantly reflect even
secret information, which is not available to all market participants.

3. Need for the Study

The stocks listed on the SENSEX are tested for weak form efficient market
hypothesis, give valuable insight on the randomness of stock prices prevailing in
the Indian stock market, and the existence of any significant relation between the
past security prices and the future security prices. With this relationship, investors
can determine if it is worthwhile to analyse the past stocks before making
investments in them. The extent of inefficiency of the Indian stock market also
determines how useful professional stock picking is to the potential investors.

4. Scope of the Study

The present study aims to analyse the Indian Stock market for Weak form
efficiency, based on the theory of Efficient Market Hypothesis given by Eugene
Fama. For this study, the weekly closing prices of the securities of the companies

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listed on the SENSEX for a period of one year from 1st April 2017 to 31st March
2018 are taken into consideration. SENSEX is an index of 30 stocks representing
12 major sectors, which are Information Technology, Automobiles,
Pharmaceuticals, Banking, Oil Exploration, Power Generation, Mining and
Minerals etc., and are considered to be the pulse of the Indian Stock Market.

5. Objectives of the Study

The following are the objectives of the study:

 To test the efficiency of the Indian Stock market by employing Parametric
and Non-Parametric statistical tools, for Weak form EMH
 To find out the relationship between past and future prices of securities
listed in SENSEX
 To identify randomness in price movements of stocks listed in SENSEX
 To investigate the prices of securities listed in SENSEX in order to know
the existence of random walk as required by the weak form EMH and
analysing the impact of this on the perception of investors.

6. Research Methodology

The time period selected for the study is from 1st April 2017 to 31st March
2018.The stock prices are taken from the most preferred and trusted stock market
index of India, BSE SENSEX. The 30 well-established and financially sound
companies listed on SENSEX have been selected for the study .The sources of
data for the purpose of this research are mainly secondary, which was collected
from BSE and of the websites of respective companies under consideration. The
study is descriptive in nature, as it attempts to identify the random trends in the
prices of securities during the given period of one year, and not the causes for such
trends.

7. Limitations of the Study

The following are the limitations of the study:

 The findings are on the basis of run test hence findings are subject to the
limitation of non-parametric test
 Findings are applicable in the situations, which prevail during the year
2017-18.
 There is no quantitative measure of market efficiency and testing the idea
is difficult.
 Investors and researchers have disputed the EMH both empirically and
theoretically. They argue that many investors base their expectations of
stock performance on past prices, earnings, track records, and other
backward-looking indicators. Stock prices are largely based on investor
expectation, meaning that stock prices and activity in the past indirectly
impact the current and future prices as well.

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8. Hypothesis for the Study

While studying the EMH, hypothesis testing has been taken into account. The
hypothesis which is tested under the assumption that it is true is called null
hypothesis and is denoted by H0. The hypothesis which differs from the given null
hypothesis, H0 and is accepted when H0 is rejected is called an alternative
hypothesis and is denoted by H1.
The null hypothesis for this study is:
H0 =The price movements of the securities listed on the SENSEX are not affected
by their past prices (Price of securities is Random)
The alternative hypothesis for this study is:
H1= The price movements of the securities listed on SENSEX are affected by their
past prices (Price of securities is not Random)

9. Data Analysis and Interpretation

The study seeks to test the weak form or random walk EMH, by employing both
parametric and non-parametric tests. Modern tools like “Run test” has been used
to check the weak form of efficiency and autocorrelation has been used to check
correlation (positive or negative) between the share prices after the passes of time.
These tools have been applied to the weekly closing prices of all the 31 companies
framing the SENSEX for a period of one year from 1 April 2017 to 31 March
2018. Autocorrelation has been calculated for the weekly closing prices, wherein
the series has been lagged up to 5 time periods. Lags are represented by ‘k’.

Table 4.8: Autocorrelation results for 5 Lags

Autocorrelation
S.No. Company k=1 k=2 k=3 k=4 k=5
1 Adani Ports and SEZ 0.869231 0.727699 0.594609 0.482621 0.418564
2 Asian Paints 0.662479 0.381049 0.147799 0.063949 0.11958
3 Axis Bank 0.744539 0.60299 0.541926 0.46044 0.376589
4 Bajaj Auto 0.904884 0.831794 0.754523 0.701288 0.632
5 BhartiAirtel 0.923518 0.835211 0.72588 0.60987 0.526377
6 Coal India 0.859614 0.755272 0.637174 0.524706 0.401376
7 HDFC Bank 0.898065 0.799664 0.7297 0.685447 0.622435
8 HDFC 0.855155 0.739456 0.651721 0.573322 0.522545
9 Hero Motocorp 0.798232 0.646862 0.466025 0.366976 0.227561
10 Hindustan Unilever (HUL) 0.928086 0.866347 0.792332 0.728225 0.658037
11 ICICI Bank 0.790376 0.558604 0.35704 0.153781 0.018485
12 IndusInd Bank 0.876277 0.782961 0.720697 0.657316 0.577194
13 Infosys 0.928084 0.840976 0.750755 0.680705 0.612286
14 ITC 0.873564 0.740516 0.620983 0.528438 0.478815
15 Kotak Mahindra Bank 0.85525 0.70017 0.567401 0.506761 0.440829
16 Larsen and Toubro 0.919155 0.843495 0.752769 0.663943 0.559243
17 Mahindra and Mahindra 0.902105 0.823266 0.743928 0.658995 0.576559
18 Maruthi Suzuki 0.937471 0.868587 0.792793 0.726328 0.658601

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19 NTPC 0.862904 0.803996 0.728553 0.608156 0.486098

20 ONGC 0.898459 0.816564 0.732555 0.655397 0.570499
21 Power Grid Corporation of India 0.875604 0.819362 0.7127 0.643304 0.583162
22 Reliance 0.898683 0.816431 0.723867 0.630959 0.539758
23 SBI 0.813425 0.611851 0.416703 0.203514 0.059383
24 Sun Pharmaceuticals 0.819956 0.594977 0.435503 0.304959 0.19554
25 TCS 0.928547 0.82272 0.727536 0.635214 0.549917
26 Tata Motors-DVR 0.874011 0.762101 0.638681 0.525458 0.455901
27 Tata Motors 0.823834 0.670004 0.510002 0.366814 0.305345
28 Tata Steel 0.94764 0.886209 0.816392 0.740515 0.676114
29 Vedanta 0.934184 0.867688 0.791882 0.709613 0.618027
30 Wipro 0.859638 0.716925 0.586047 0.465693 0.355493
31 Yes Bank 0.92806 0.85687 0.790903 0.726301 0.662218

9.1 Interpretation
To analyse the results of Autocorrelation, the three limits of correlation
coefficient have been taken. These limits are:
• ± 0 to ± 0.25 (low correlation)
• ± 0.25 to ± 0.75 (moderate correlation)
• ± 0.75 to ± 1 (high correlation).
Out of 31 companies, when k=1, only 2 companies i.e., Asian Paints and Axis
Bank have shown moderate correlation and 29 companies have shown high
correlation. It is also analysed that when k=2, 12 companies i.e., Adani Ports, Asian
Paints, HDFC, Hero Motocorp, ICICI Bank, ITC, Kotak Mahindra Bank, SBI, Sun
Pharmaceuticals, Tata Motors and Wipro have shown moderate correlation, and the
remaining 19 companies have shown high correlation. For correlation when k=3,
Asian Paints has shown Low Correlation, 23 companies have shown moderate
correlation and only 7 companies have continued to show high correlation i.e., Bajaj
Auto, HUL, Larsen and Toubro, Maruthi Suzuki, Tata Steel, Vedanta and Yes Bank.
For correlation when k=4, 3 companies have shown low correlation i.e., Asian
Paints, ICICI Bank and SBI, 28 companies have shown moderate correlation and
none of the companies have shown high correlation. For correlation when k=5, 5
companies have shown low correlation and 26 companies have shown moderate
correlation. The numbers of companies in the moderate correlation group were
increasing after Lag 1 and some started showing low correlation from the second
Lag. Consequently, the number of companies in high correlation group went on
decreasing from the first Lag period itself, from k=1 to k=5. Increasing number of
companies show low to moderate correlation as the time increases, which means that
the correlation is decreasing with the passes of time. If there is little correlation
between stock prices over time, it shows that it is not useful in predicting the future
using historical data. So from the results of Autocorrelation, it can be concluded that
the stock prices of companies in Sensex are not highly related or connected to each
other. Hence, that there is Weak Form of Efficiency and the Null Hypothesis is
Accepted.
To test the weak form of efficiency of the stock market, the Runs Test is applied
at 5% significance level where z= +1.96 and runs have been calculated by assigning

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+ sign for price increase and – sign for price decrease to the weekly closing prices
of the companies on the SENSEX, through manual counting and calculation. The
total number of runs ‘R’, number of positive signs ‘n1’, number of negative signs
‘n2’ and the Mean (µ) and Standard Deviation (σ) calculated by applying the
formulas, have been tabulated below:

Table 4.9: Runs Test Data

S.No. Company n1 n2 µ σ R
1 Adani Ports and SEZ 30 22 26.38 2.5134 25
2 Asian Paints 25 27 26.9615 2.5705 26
3 Axis Bank 27 25 26.9615 2.5705 29
4 Bajaj Auto 27 25 26.9615 2.5705 28
5 BhartiAirtel 27 25 26.9615 2.5705 23
6 Coal India 23 29 26.6538 3.5215 27
7 HDFC Bank 32 20 25.6153 3.3761 25
8 HDFC 31 21 26.0384 3.4353 30
9 Hero Motocorp 23 29 26.6538 3.5215 27
Hindustan Unilever
10 (HUL) 29 23 26.6538 3.5215 32
11 ICICI Bank 24 28 26.8461 3.5484 27
12 IndusInd Bank 32 20 25.6153 3.3761 29
13 Infosys 29 23 26.6538 3.5215 29
14 ITC 25 27 26.9615 2.5705 28
15 Kotak Mahindra Bank 28 24 26.8461 3.5484 25
16 Larsen and Toubro 25 27 26.9615 2.5705 30
17 Mahindra and Mahindra 27 25 26.9615 2.5705 29
18 Maruthi Suzuki 30 22 26.38 2.5134 22
19 NTPC 23 29 26.6538 3.5215 27
20 ONGC 25 27 26.9615 2.5705 26
Power Grid Corporation
21 of India 26 26 27 3.57 34
22 Reliance 29 23 26.6538 3.5215 29
23 SBI 25 27 26.9615 2.5705 29
24 Sun Pharmaceuticals 25 27 26.9615 2.5705 24
25 TCS 26 26 27 3.57 24
26 Tata Motors-DVR 22 30 26.38 2.5134 25
27 Tata Motors 25 27 26.9615 2.5705 25
28 Tata Steel 28 24 26.8461 3.5484 24
29 Vedanta 29 23 26.6538 3.5215 26
30 Wipro 30 22 26.38 2.5134 25
31 Yes Bank 29 23 26.6538 3.5215 27

The Z-values calculated using the data given in the previous table and the results of the
runs test are tabulated below:

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Table 4.10: Z-Values Calculation through Run Test (Z = R-μ / σ)

S. No. Company Z-Values Hypothesis Testing

1 Adani Ports and SEZ -0.5491 Accept Null Hypothesis
2 Asian Paints -0.37405 Accept Null Hypothesis
3 Axis Bank 0.793 Accept Null Hypothesis
4 Bajaj Auto 0.404 Accept Null Hypothesis
5 BhartiAirtel -1.5411 Accept Null Hypothesis
6 Coal India 0.0983 Accept Null Hypothesis
7 HDFC Bank -0.1822 Accept Null Hypothesis
8 HDFC 1.1532 Accept Null Hypothesis
9 Hero Motocorp 0.0983 Accept Null Hypothesis
10 Hindustan Unilever (HUL) 1.5181 Accept Null Hypothesis
11 ICICI Bank 0.0433 Accept Null Hypothesis
12 IndusInd Bank -0.1822 Accept Null Hypothesis
13 Infosys 0.6662 Accept Null Hypothesis
14 ITC 0.404 Accept Null Hypothesis
15 Kotak Mahindra Bank -0.5202 Accept Null Hypothesis
16 Larsen and Toubro 1.182 Accept Null Hypothesis
17 Mahindra and Mahindra 0.793 Accept Null Hypothesis
18 Maruthi Suzuki -1.7429 Accept Null Hypothesis
19 NTPC 0.0983 Accept Null Hypothesis
20 ONGC -0.37405 Accept Null Hypothesis
Power Grid Corporation of
21 India 1.9607 Reject Null Hypothesis
22 Reliance 0.6662 Accept Null Hypothesis
23 SBI 0.793 Accept Null Hypothesis
24 Sun Pharmaceuticals -1.1521 Accept Null Hypothesis
25 TCS -0.8403 Accept Null Hypothesis
26 Tata Motors-DVR -0.549 Accept Null Hypothesis
27 Tata Motors -0.763 Accept Null Hypothesis
28 Tata Steel -0.802 Accept Null Hypothesis
29 Vedanta -0.1856 Accept Null Hypothesis
30 Wipro -0.5491 Accept Null Hypothesis
31 Yes Bank 0.0983 Accept Null Hypothesis

The calculated values of run test (Z) are compared with the critical value at 5% level
of significance. Out of the 31 companies, the value of Z of all companies except Power
Grid Corporation of India was less than the critical value of 1.96 at 5% level of
significance. So, the null hypothesis that the price movements of the securities listed on
the SENSEX are not affected by their past prices (Price of securities is Random) is
rejected for the Power Grid Corporation of India. The overall result shows that the price
movements of the securities listed on the SENSEX are not affected by their past prices
(Price of securities is Random), thus the Null Hypothesis is accepted for all the remaining
30 companies. This implies that the historical prices cannot be used for predicting the

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future prices. This study has proved that the Weak Form of Market Efficiency or The
Random Walk Theory is applicable in the Bombay Stock Exchange.

10. Findings
After analysing the weekly closing stock prices of the 31 listed SENSEX companies
through the Runs Test and Autocorrelation, the following finding were made:
 The study revealed that during the period from 1st April 2017 to 31st March 2018,
price movements in stock prices were random in behaviour and were not affected
by the past prices.
 During the study period, run counts revealed that entire prices were moving in an
unpredictable manner.
 The study revealed that during this period, 3 companies i.e., Asian Paints, ICICI
Bank and SBI, started to show low correlation between the stock prices earlier
than the others.
 The study also revealed that a majority of companies have shown moderate
correlation as the time increases and by the fourth lag period, no company showed
high correlation. It is also been found that historical data is not useful in
predicting the future, if there is little correlation between stock prices over time.
 It has also been found that the stock prices of Asian Paints and SBI have more
prominent characteristics of Weak Form Efficiency, as their past prices have
nothing to do with their future prices.
 The study revealed that as the time period increases the correlation between series
of past prices decrease.
 During this period, the stock prices of the companies listed on the SENSEX are
not highly related or connected to each other.
 The outcome of the study has proved that during this period, weak form of market
efficiency or the random walk theory was applicable in the Bombay Stock
Exchange.

11. Conclusion
During the study, the random walk model observed that the previous price changes in
return are not very useful in predicting future price or return changes. That is, the
prediction of future prices in absolute terms using only historical price-change
information is not successful. After applying the statistical tools like Runs test and
Autocorrelation, it can be concluded that the price movement of shares of the companies
on the SENSEX are random and nobody can be successful in predicting the future prices
on the basis of historical data only. In almost all the companies except one, runs test has
accepted the Null Hypothesis (H0) that the price movements of the securities listed on the
SENSEX are not affected by their past prices (Price of securities is Random) and rejected
the alternative hypothesis (H1) that the price movements of the securities listed on
SENSEX are affected by their past prices (Price of securities is not Random). The Null
Hypothesis has only been rejected for the Power Grid Corporation of India by 0.0007 only,
which is highly insignificant. Moreover, results of Autocorrelation test also support the
weak form of efficiency for SENSEX. So, it can be concluded that the price movement of
shares on the SENSEX are occurring by chance. The implication for investors is that
before investing in the share of the companies listed on the SENSEX, an investor should
not rely on the historical prices of the share of the company.

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12. Suggestions
After analysing the findings of the study carried out on closing prices of the
31companies framing the SENSEX, the following suggestions can be made:
 Investors need to be careful while depending on the historical stock prices, before
investing in the stocks listed on the SENSEX. It will be prudent for the investor to
invest not only on the basis of past prices, but after making a systematic enquiry
and a deep analysis of important factors like Government Policy, Foreign
Institutional Investor’s Investment, Inflation and other factors like Sound
Investment Fundamentals, Techniques of Portfolio Management, Relevant
Market Information, Economic and Political factors along with the past prices, if
they want to reap good returns from the market.
 They should invest based on fundamentals of the company and may not only
consider the capital appreciation, but must sum up the earning through capital
appreciation and dividend.
 Investors must adopt a well-diversified portfolio composed of varying market risk
as it will provide risk weighted return. Investors must invest according to their
risk taking appetite. Those who seek regular income should prefer stocks, which
have less variation in return with the occurrence of market and non-market risk,
and investors who are particular about capital appreciation should prefer such
portfolios which have variation in market events and bring multiple changes in
expected portfolio return.
Investor should not invest based on the information that is publicly available because the
information, which is publicly available, is not useful every time. It is a core fact that the
outcome of any model cannot be true and authentic. Mathematical models and statistical
tools which are implemented on provided data and information can only produce result of
historical data fed by the analyst to establish correlations between numerous factors that
could have influenced the price of the stock in the past which cannot be considered
authentic.

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