Year: 2018 | Month: June | Volume 63 | Issue 2
Testing Weak Form of Efficient Market Hypothesis: Empirical Evidence for Bullions and Base Metal Segment of Indian Commodity Market
DOI:10.30954/0424-2513.2.2018.37
Abstract:
With the advent of higher level of trading in commodities, investors’ focus has moved towards commodity market in recent years. Efficiency of the markets is the main area of concern for market players and always considered a valuable addition to the body of knowledge on investment management. Among all the commodities traded in Indian commodity market, bullions and base metals have emerged as a bigger area of interest for the investors. Industrial usage of these commodities with their participation in individual’s investor portfolio as an investment avenue, increases their relative importance among other commodities. This paper examines the weak-form of Efficient Market Hypothesis (EMH) for both the segments. The period of study is 8 years, commencing from 2009, daily spot prices of commodities have been used to test the market efficiency in weak form. The weak form efficiency is thoroughly scrutinized with the help of graphs, runs test, augmented dicker fully and variance ratio test. The results of all the tests deployed in the study are consistent with each other and confirms the weak-form inefficient behavior of bullions and base metals.
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