Testing The Weak-Form Market Efficiency and Impact of Nation Wide Lockdown on Fmcg & Consumer Durables Companies Indices

Abstract

Share market efficiency is used by investors for investment decision where they try to gain from the market and gain abnormal return. The study carried out to check the efficiency of National Stock Exchange of India for over fourteen years of index data of nifty50 were analysed for the study. Run test, Augmented Dickey-Fuller (ADF) test and Phillips Perron (PP) test along with Auto Correlation Function is used in the Study. Event Study Methodology was also used in the Study. The Study reveals that National Stock Exchange is inefficient in weak form implying that abnormal return is possible by historical data. FMCG and Consumer Durables historical index data was used to find out the abnormal return during post and pre nationwide lockdown imposed by the central government for the safety of the people. It is reflected in the study that on event date it has significant impact on the both indices.