Abstract
The greatness and simplicity of EMH (Efficient Market Hypothesis) has surprised investors from time to time regarding the correct pricing and efficient strategies for investment. Applying the same logic to Indian Derivative market, the present paper makes an effort to examine the market efficiency of index futures. The study has undertaken tests of market efficiency of Nifty Index Futures contract from 1st January, 2018 to 1st January, 2021 Random walk theory is tried to be tested in this context and Ljung- Box test is applied to check the fluctuations in future contract prices. The background thought is kept like if market is inefficient at its weak-form that leads to the proof that market does have memory and future prices do not stick to random walk. Findings of the study reveals that past prices of future contracts cannot be used as base to forecast the terminal prices and abnormal profit can be made as they are random in nature.
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