Abstract
Market efficiency has always been the concern of market regulators, investors, and researchers. Market efficiency tests showed different and mixed evidences in the developing markets. The present study deals with the testing of weak form of efficiency and the efficient market hypothesis on Indian stock market in the form of random walk, during the period of 2007–2008 based on closing prices and daily returns on the Indian stock market three representative indices: S&P CNX 500, CNX 100, and BSE 200. The paper discusses and examines three types of anomalies namely Monday Effect, Friday Effect and Day of the Week effect. The findings of this study bring out that none of the above anomalies exist in the Indian stock market as information ally efficient. Serial correlation and run test also support the Random Walk Theory and market efficiency hypothesis.
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