Abstract
This paper examines the serial independence of shortrun changes in the prices of securities and the stock market mdex to establish the efficiency of the Indian capital markets in assimilating information. Common statistical techniques have been used to test the hypothesis of serial independence of these changes. While the securities showed independence of price changes, the changes in the market index exhibited statistically significant serial dependence. Despite this difference in the behaviour of individual securities and the index it is argued that the Indian capital market is efficient in incorporating information in the price structure of securities.
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