A Study On The Weak Form Efficiency Of Metals & Mining Sector In Bse

Abstract

This study has been conducted to observe whether the weak form of efficiency holds true when the Metals & Mining sector is examined for the same. Data is collected for a 5 year period which ranges from 1st April 2014 to 31st March 2019. A total of 1232 observations have been taken from the three selected companies of the Metals & Mining sector of the BSE, namely, Coal India Ltd, Hindustan Zinc Ltd and JSW Steel Ltd. Jarque-Bera test is used to check whether the data is normally distributed or not. Augmented Dickey Fuller test has been used to establish whether the data series possesses stationarity or not. Finally Runs test and Autocorrelation tests are used to check whether the Metals & Mining sector of BSE is weak form efficient or not through the three representative companies. Upon analyzing the data through Runs Test, except for JSW Steel Ltd, the other two companies are identified to contain randomness in their data series. Autocorrelation test also suggests that the future stock prices can be predicted only to a minimal extent for the three representative companies. Based on the derived results, it is concluded that the Metals & Mining sector of BSE does not contain any statistical dependencies between its past and future stock prices and it is found to be weak form efficient.