Abstract
The present study attempts to verify weak form of efficient market hypothesis using daily data for the indices of Indian stock market, namely, NIFTY 50 (NSE-50), CNX 500 (NSE-500), CNX IT INDEX (NSE-IT), BANK NIFTY INDEX (NSE-BANK) and NIFTY MIDCAP 100 (NSE-MC100). For the analysis, the study employed GARCH (1, 1) model and EGARCH (1, 1) model over the sample period of 1, January 2010 to 5, November 2015. The study results exhibited that returns series are characterized by high persistence of volatility clusters and leverage effects over the sample period. The empirical findings show that the indices of National Stock Exchanges are not weak form efficient.
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