( ISSN 2277 - 9809 (online) ISSN 2348 - 9359 (Print) ) New DOI : 10.32804/IRJMSH

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A STUDY ON THE WEAK FORM EFFICIENCY OF CHEMICALS SECTOR IN BSE

    1 Author(s):  VARUN DIMRI

Vol -  11, Issue- 1 ,         Page(s) : 64 - 74  (2020 ) DOI : https://doi.org/10.32804/IRJMSH

Abstract

This study is undertaken to establish the validity of the weak form market efficiency of the Chemicals sector in the Bombay Stock Exchange. The data has been collected over a period of 5 years, ranging from, 1st April, 2014 to 31st March, 2019. The research contains 1232 observations from each of the three representative companies- Asian paints, Berger Paints and Pidilite Industries. To verify the Normality of the data, Shapiro Wilk test and Jarque-Bera test have been used. To check the stationarity of the data series, Augmented Dickey Fuller test has been used. Finally, the weak form of market efficiency of the aforementioned sector has been analysed using Runs test and Autocorrelations test. Through the study, the runs test has shown the existence of a pattern in the stock prices of Asian Paints but the other two companies are found to be following random walk. Autocorrelation test, for all the three companies, shows that prediction can be done in terms of future stock prices to only a very minimal extent. On the basis of the results from the sample, it can be concluded that the Chemicals sector is weak form efficient.

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