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Volatility Study and Test of Market Efficiency in Selected Indices of BSE & NSE

In the Indian context, except for some of the studies, the available evidence in general indicates that the successive price changes are independent and the random walk model is appropriate to describe the stock price behavior. The studies of Sharma and Kennedy [1977] , Obaidullah [1990] and Sunil Poshakwale [1996] provide evidence of random nature of Indian stock indices while analysis by Kulkarni [1978] and Chowdhary [1991] disputed the contention of random behavior of stock prices in Indian capital market. The paper aims to study the behavior of volatility of seven popular stock indices in Indian markets by selecting appropriate measures of volatility of intra-day variation and inter-day variations, measured by co-efficient of variation( dispersion). The weak form efficiency in Indian capital market is tested by using the Runs Test Analysis (Wallis and Roberts, 1956) and the Autocorrelation Function ACF(k) approach (Stephen A. DeLurgio, 1998).