Abstract
The current paper explores the market efficiency of selected global stock indices for a period of five years. The most commonly debated issue among stock market investors is whether the market is efficient - that is, whether it reflects all the information made available to market participants at any given time. The Efficient Market Hypothesis (EMH) maintains that all stocks are perfectly priced according to their inherent investment properties, the knowledge of which all market participants possess equally. The Liberalisation, Privatisation and Globalisation measures of global economies has facilitated more capital inflows, exchange of goods and services and many other benefits. The present paper evaluated the price movements of index price returns of selected indices This, on the other hand, may have adverse effects too. The study of market integration of global economies has become relevant because countries can make efficient use of resources available worldwide and it can help the investors to understand the market efficiency and thereby choose portfolio strategies for better risk reduction.
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