SSIJBMR VOLUME 1, ISSUE 3 [ SEP 2011] ISSN 2231-4970 SSIJBMR All rights reserved. http://ssirn.com page 1 Testing Weak Form Market Efficiency Of Indian Stock Markets Nikunj R. Patel*, Bhavesh K. Patel ** & Darshan Ranpura*** *Associate Professor, S.V. Institute of Management, S.V. Campus, Kadi **Associate Professor and Head of the Department, Sankalchand Patel College of Engineering, Sankalchand Vidyadham, Gandhinagar – Ambaji Link Road, Visnagar ***Assistant Professor, Sankalchand Patel College of Engineering, Sankalchand Vidyadham, Gandhinagar – Ambaji Link Road, Visnagar ___________________________________________________________________________ Abstract This paper examines the weak-form market efficiency of Indian stock markets namely Bombay Stock Exchange and National Stock Exchange for the period August 1998 to July 2010. The data is also divided into intervals of three years, to find out the weak form efficiency over periods. Daily returns are examined for random walks using Unit Root Test, Auto correlation and runs tests. From the Unit Root, It has been found that data is stationary. From the analysis of whole period, it is found that Autocorrelation prevails in the market. But in the Interval of three year data, significant Autocorrelation is found only in the period August 2001 to July 2004. But thereafter, market became random walk because no significant autocorrelation found after 2004. Runs Test conclude that the whole period null hypothesis of random walk was not accepted. In all months, null hypothesis is accepted of random walk except January month. But in all days random walk is prevailing. The period of 2004 to 2010 support weak form Market Efficiency. Keywords: Weak form Market Efficiency, Bombay Stock Exchange (BSE), National Stock Exchange (NSE), Autocorrelation test, Runs test ___________________________________________________________________________ 1. Introduction The Efficient Market Hypothesis has been a widely accepted phenomenon in the behavioral finance. Numerous studies have been carried out almost in every corner of the world for the validity of Efficient Market Hypothesis. It is usually believed that developed markets are more efficient than developing and underdeveloped market due to flow, adjustment and magnitude of information. There are two SS INTERNATIONAL RESEARCH NETWORK Available online at www.ssirn.com SS INTERNATIONAL JOURNAL OF BUSINESS AND MANAGEMENT RESEARCH (Internationally Indexed & Listed Referred E-Journal )