International Business & Economics Research Journal March 2007 Volume 6, Number 3

Transcription

1 Weak Form Efficiency In Indian Sock Markes Rakesh Gupa, ( Cenral Queensland Universiy, Ausralia Parikshi K. Basu, ( Charles Sur Universiy, Ausralia ABSTRACT Hypohesis of Marke Efficiency is an imporan concep for he invesors who wish o hold inernaionally diversified porfolios. Wih increased movemen of invesmens across inernaional boundaries owing o he inegraion of world economies, he undersanding of efficiency of he emerging markes is also gaining greaer imporance. In his paper we es he weak form efficiency in he framework of random walk hypohesis for he wo major equiy markes in India for he period 1991 o The evidence suggess ha he series do no follow random walk model and here is an evidence of auocorrelaion in boh markes rejecing he weak form efficiency hypohesis. INTRODUCTION T he erm marke efficiency in capial marke heory is used o explain he degree o which sock prices reflec all available, relevan informaion. The concep of Efficiency Marke Hypohesis (EMH) is based on he argumens pu forward by Samuelson (1965) ha anicipaed price of an asse flucuae randomly. Fama (1970) presened a formal review of heory and evidence for marke efficiency and subsequenly revised i furher on he basis of developmen in research (Fama 1991). Efficiency of equiy markes has imporan implicaions for he he invesmen policy of he invesors. If he equiy marke in quesion is efficien researching o find miss-priced asses will be a wase of ime. In an efficien marke, prices of he asses will reflec markes bes esimae for he risk and expeced reurn of he asse, aking ino accoun wha is known abou he asse a he ime. Therefore, here will be no undervalued asses offering higher han expeced reurn or overvalued asses offering lower han he expeced reurn. All asses will be appropriaely priced in he marke offering opimal reward o risk. Hence, in an efficien marke an opimal invesmen sraegy will be o concenrae on risk and reurn characerisics of he asse and/or porfolio. However, if he markes were no efficien, an invesor will be beer off rying o spo winners and losers in he marke and correc idenificaion of miss-priced asses will enhance he overall performance of he porfolio Ruerford (1993). EMH has a wofold funcion - as a heoreical and predicive model of he operaions of he financial markes and as a ool in an impression managemen campaign o persuade more people o inves heir savings in he sock marke (Will 2006). The undersanding of efficiency of he emerging markes is becoming more imporan as a consequence of inegraion wih more developed markes and free movemen of invesmens across naional boundaries. Tradiionally more developed Wesern equiy markes are considered o be more efficien. Conribuion of equiy markes in he process of developmen in developing counries is less and ha resuled in weak markes wih resricions and conrols (Gupa, 2006) In he las hree decades, a large number of counries had iniiaed reform process o open up heir economies. These are broadly considered as emerging economies. Emerging markes have received huge inflows of capial in he recen pas and became viable alernaive for invesors seeking inernaional diversificaion. Among he emerging markes India has received i s more han fair share of foreign invesmen inflows since is reform process began. One reason could be he Asian crisis which affeced he fas developing Asian economies of he ime (also some imes collecively called iger economies ). India was no affeced by he Asian crisis and has mainained is high economic growh during he period (Gupa and Basu 2005). 57

2 Today India is one of he fases growing emerging economies in he world. The reform process in India officially sared in As a resul, demand for invesmen funds is growing significanly and capial marke growh is expeced o play an increasingly imporan role in he process. The capial marke reforms in India presen a case where a judicious combinaion of compeiion, deregulaion and regulaion has led o susained reforms and increased efficiency (Daar and Basu 2004). A his ransiional sage, i is necessary o assess he level of efficiency of he Indian equiy marke in order o esablish is longer erm role in he process of economic developmen. However, sudies on marke efficiency of Indian markes are very few. They are also daed and mosly inconclusive. The objecive of his sudy is o es wheher he Indian equiy markes are weak form efficien or no. EMH, similar o oher heories ha require fuure expeced prices or reurns, use pas acual prices or reurns for he ess. Ses of share price changes are esed for serial independence. Random walk heory for equiy prices show an equiies marke in which new informaion is quickly discouned ino prices and abnormal or excess reurns can no be made from observing pas prices (Poshakwale 1996). The nex secion of his paper provides a brief background of he Indian equiy marke and a brief lieraure review of sudies esing marke efficiency in emerging markes. Secion 3 explains he mehodology used in his sudy and daa sources, followed by he resuls of he analysis in secion 4. The las secion summarizes he conclusions and heir implicaions. BACKGROUND Equiy Marke In India The reform process in India began in early 1990s wih sock exchanges and hen spread o banks, muual funds, NBFCs and of lae, o insurance companies. However, reforms in equiy marke in paricular commenced in mid-1980s (Daar & Basu 2004). Mumbai (formerly known as Bombay) Sock Exchange (BSE) has always played he dominan role in he equiy marke in India. Tradiionally, sock exchanges were governed by brokers leading o conflic of ineres siuaion beween he ineres of common invesors and hose of brokers/owners of sock exchanges. Wih he esablishmen of Naional Sock Exchange (NSE), a new insiuional srucure was inroduced in India ha could ensure smooh funcioning of marke hrough a combinaion of new echnology and efficien marke design. The Securiies Exchange Board of India (SEBI) was se up as a marke regulaor wih sauory powers o conrol and supervise operaions of all paricipans in he capial marke viz. sock exchanges, sock brokers, muual funds and raing agencies. The developmen of deb marke is anoher significan developmen, which has been faciliaed by deregulaion of adminisered ineres raes. Opening of sock exchange rading o Foreign Insiuional Invesors (FIIs) and permission of raising funds from inernaional marke hrough equiy linked insrumens have inroduced a degree of compeiion o domesic exchanges and oher marke paricipans. Operaions of FIIs have faciliaed inroducion of bes pracices and research inpus in rading and risk managemen sysems. Mumbai sock exchange (BSE), he premier sock exchange of India is probably he oldes sock exchanges in Asia, esablished in I was iniially named as Naive Share and Share Broker Associaion (Poshakwale 1996). Sabiliy in prices for he BSE was considered o be an imporan feaure. During he period 1987 o 1994, average annual price flucuaions of ordinary shares on BSE were 25.1% as compared wih London Sock Exchange (22%), and he New York Sock Exchange (23.9%) (Poshakwale 1996). In his sudy, o deermine marke efficiency of equiy markes in India, we considered wo sock exchanges BSE and NSE. Marke capializaion of BSE in July, 2006 was INR 19,871 billion and ha of NSE a he same ime was INR 18,487 billion. BSE is he oldes sock exchange in India and has he longes daa series available. NSE is one of he newer sock exchanges in India. The purpose of esablishing NSE was o provide ransparency and a beer funcioning marke for he invesors. Because of governmen s suppor, NSE is fas becoming more accessible marke o domesic and foreign invesors. The perceived liquidiy and accessibiliy of he NSE marke is an imporan facor and may have differen impac on he marke efficiency. High liquidiy in he marke is an imporan pre-condiion for he marke efficiency, since a hinly raded marke is no in a posiion o adjus o he new informaion quickly and 58

3 accuraely. Thus, analysis of wo major equiy markes in India ogeher should provide a more comprehensive and complee picure. Sudies On Marke Efficiency The efficien marke hypohesis is relaed o he random walk heory. The idea ha asse prices may follow a random walk paern was inroduced by Bachelier in 1900 (Poshakwale 1996). The random walk hypohesis is used o explain he successive price changes which are independen of each oher. Fama (1991) classifies marke efficiency ino hree forms - weak, semi-srong and srong. In is weak form efficiency, equiy reurns are no serially correlaed and have a consan mean. If marke is weak form efficien, curren prices fully reflec all informaion conained in he hisorical prices of he asse and a rading rule based on he pas prices can no be developed o idenify miss-priced asses. Marke is semi-srong efficien if sock prices reflec any new publicly available informaion insananeously. There are no undervalued or overvalued securiies and hus, rading rules are incapable of producing superior reurns. When new informaion is released, i is fully incorporaed ino he price raher speedily. The srong form efficiency suggess ha securiy prices reflec all available informaion, even privae informaion. Insiders profi from rading on informaion no already incorporaed ino prices. Hence he srong form does no hold in a world wih an uneven playing field. Sudies esing marke efficiency in emerging markes are few. Poshakwale (1996) showed ha Indian sock marke was weak form inefficien; he used daily BSE index daa for he period 1987 o Barua (1987), Chan, Gup and Pan (1997) observed ha he major Asian markes were weak form inefficien. Similar resuls were found by Dickinson and Muragu (1994) for Nairobi sock marke; Cheung e al (1993) for Korea and Taiwan; and Ho and Cheung (1994) for Asian markes. On he oher hand, Barnes (1986) showed a high degree of efficiency in Kuala Lumpur marke. Groenewold and Kang (1993) found Ausralian marke semi-srong form efficien. Some of he recen sudies, esing he random walk hypohesis (in effec esing for weak form efficiency in he markes) are; Korea (Ryoo and Smih, 2002; his sudy uses a variance raio es and find he marke o follow a random walk process if he price limis are relaxed during he period March 1988 o Dec 1988), China, (lee e al 2001; find ha volailiy is highly persisen and is predicable, auhors use GARCH and EGARCH models in his sudy), Hong Kong (Cheung and Cous 2001; auhors use a variance raio es in his sudy and find ha Hang Seng index on he Hong Kong sock exchange follow a random walk), Slovenia (Dezlan, 2000), Spain (Regulez and Zarraga, 2002), Czech Republic (Hajek, 2002), Turkey (Buguk and Brorsen, 2003), Africa (Smih e al. 2002; Appiah-kusi and Menyah, 2003) and he Middle Eas (Abraham e al. 2002; his sudy uses variance raio es and he runs es o es for random walk for he period 1992 o 1998 and find ha hese markes are no efficien). METHODOLOGY & DATA To es hisorical marke efficiency one can look a he paern of shor-erm movemens of he combined marke reurns and ry o idenify he principal process generaing hose reurns. If he marke is efficien, he model would fail o idenify any paern and i can be inferred ha he reurns have no paern and follow a random walk process. In essence he assumpion of random walk means ha eiher he reurns follow a random walk process or ha he model used o idenify he process is unable o idenify he rue reurn generaing process. If a model is able o idenify a paern, hen hisorical marke daa can be used o forecas fuure marke prices, and he marke is considered no efficien. There are a number of echniques available o deermine paerns in ime series daa. Regression, exponenial smoohing and decomposiion approaches presume ha he values of he ime series being prediced are saisically independen from one period o he nex. Some of hese echniques are reviewed in he following secion and appropriae echniques idenified for use in his sudy. Runs es (Bradley 1968) and LOMAC variance raio es (Lo and MacKinlay 1988) are used o es he weak form efficiency and random walk hypohesis. Runs es deermines if successive price changes are independen. I is 59

4 non-parameric and does no require he reurns o be normally disribued. The es observes he sequence of successive price changes wih he same sign. The null hypohesis of randomness is deermined by he same sign in price changes. The runs es only looks a he number of posiive or negaive changes and ignores he amoun of change from mean. This is one of he major weaknesses of he es. LOMAC variance raio es is commonly criicised on many issues and mainly on he selecion of maximum order of serial correlaion (Faus, 1992). Durbin-Wason es (Durbin and Wason 1951), he augmened Dickey-Fuller es (Dickey and Fuller 1979) and differen varians of hese are he mos commonly used ess for he random walk hypohesis in recen years (Worhingon and Higgs 2003; Kleiman, Payne and Sahu 2002; Chan, Gup and Pan 1997). Under he random walk hypohesis, a marke is (weak form) efficien if mos recen price has all available informaion and hus, he bes forecaser of fuure price is he mos recen price. In he mos sringen version of he efficien marke hypohesis, ε is random and saionary and also exhibis no auocorrelaion, as disurbance erm canno possess any sysemaic forecas errors. In his sudy we have used reurns and no prices for es of marke efficiency as expeced reurns are more commonly used in asse pricing lieraure (Fama (1998). Reurns in a marke conforming o random walk are serially uncorrelaed, corresponding o a random walk hypohesis wih dependan bu uncorrelaed incremens. Parameric serial correlaions ess of independence and nonparameric runs ess can be used o es for serial dependence. Serial correlaion coefficien es is a widely used procedure ha ess he relaionship beween reurns in he curren period wih hose in he previous period. If no significan auocorrelaion are found hen he series are expeced o follow a random walk. A simple formal saisical es was inroduced was Durbin and Wason (1951). Durbin-Wason (DW) is a es for firs order auocorrelaion. I only ess for he relaionship beween an error and is immediaely preceding value. One way o moivae his es is o regress he error of ime wih is previous value. u = ρu -1 + v (1) where v ~ N(0,σ 2 v). DW es can no deec some forms of residual auocorrelaions, e.g. if corr(u, u -1 ) = 0 bu corr(u, u -2 ) 0, DW as defined earlier will no find any auocorrelaion. One possible way is o do i for all possible combinaions bu his is edious and pracically impossible o handle. The second-bes alernaive is o es for auocorrelaion ha would allow examinaion of he relaionship beween u and several of is lagged values a he same ime. The Breusch- Godfrey es is a more general es for auocorrelaion for he lags of up o r h order. u u 1 1 u 2 2 u u v r r v, ~ N(0, 2 v (2) Because of he abovemenioned weaknesses of he DW es we do no use he DW es in our sudy. An alernaive model which is more commonly used is Augmened Dickey Fuller es (ADF es). Three regression models (sandard model, wih drif and wih drif and rend) are used in his sudy o es for uni roo in he research, (Chan, Gup and Pan 1997; Brooks 2002). In his sudy we followed he es mehodologies from Brooks (2002) wih sligh adjusmens. S S 1 (3) S * * * u S 1 (4) ** ** ** u ( T) S 1 (5) S Where: S = he sock price u* and u** = he drif erms T = oal number of observaions ε, ε *, ε ** = error erms ha could be ARMA processes wih ime dependen variances. 60

5 Where S is he logarihm of he price index seen a ime, u is an arbirary drif parameer, α is he change in he index and ε is a random disurbance erm. Equaion (3) is for he sandard model; (4) for he sandard model wih a drif and (5) for he sandard model wih drif and rend. Augmened Dickey-Fuller (ADF) uni roo es of nonsaionariy is conduced in he form of he following regression equaion. The objecive of he es is o es he null hypohesis ha θ = 1 in: y y 1 u agains he one-sided alernaive θ < 1. Thus he hypoheses o be esed are: H 0 : H 1 : Series conains a uni roo agains Series is saionary In his sudy we calculae daily reurns using daily index values for he Mumbai Sock Exchange (BSE) and Naional Sock Exchange (NSE) of India. The daa is colleced from he Daasream daa erminal from Macquarie Universiy. The ime period for BSE is from 24 h May 1991 o 26 h May 2006 and for NSE 27 h May o 26 h May Sock exchanges are closed for rading on weekends and his may appear o be in conradicion wih he basic ime series requiremen ha observaions be aken a a regularly spaced inervals. The requiremen however, is ha he frequency be spaced in erms of he processes underlying he series. The underlying process of he series in his case is rading of socks and generaion of sock exchange index based on he sock rading, as such for his sudy he index values a he end of each business day is appropriae (French 1980). Table 1 presens he characerisics of wo daa ses used in his sudy. During he period covered in his sudy, he mean reurn of he NSE index is much lower han ha of he BSE, similarly he variance of NSE is lower as compared wih BSE index suggesing a lower risk and a lower average reurn a NSE as compared wih BSE. I is relevan o noe ha NSE was esablished by he governmen of India o improve he marke efficiency in Indian sock markes and o break he monopolisic posiion of he BSE. NSE index is a more diversified one as compared o he same of BSE. This can also be due o he unique naure of India s equiy markes, he selemen sysem on BSE was inermien (Badla sysem up unil 2 nd July 2001) and on NSE i was always cash. Table 1: Daa characerisics BSE and NSE Index Mean Variance Minimum Maximum Observaions Skewness Kurosis BSE NSE RESULTS This sudy conducs a es of random walk for he BSE and NSE markes in India, using sock marke indexes for he Indian markes. I employs uni roo ess (augmened Dickey-Fuller (ADF)). We perform ADF es wih inercep and no rend and wih an inercep and rend. We furher es he series using he Phillips-Perron ess and he KPSS ess for a confirmaory daa analysis. In case of BSE and NSE markes, he null hypohesis of uni roo is convincingly rejeced, as he es saisic is more negaive han he criical value, suggesing ha hese markes do no show characerisics of random walk and as such are no efficien in he weak form. We also es using Phillip-Perron es and KPSS es for confirmaory daa analysis and find he series o be saionary. Resuls are presened in Table 2. For boh BSE and NSE markes, he resuls are saisically significan and he resuls of all he hree ess are consisen suggesing hese markes are no weak form efficien. 61

6 Table 2: Resuls of ADF, PP Index ADF Tes Saisic (5 lags wih inercep and no rend) ADF Tes Saisic (5 lags wih inercep and rend) PP uni roo es, wih inercep and 4 lags in error process KPSS (Tau saisic) for lag parameer 4, 3 and 2 respecively BSE ,.13762, NSE ,.12203, Noe: ADF criical values wih an inercep and no rend are: , and a 1%, 5% and 10% levels; wih and inercep and rend are: , and a 1%, 5% and 10% levels. PP criical values are: , and a 1%, 5% and 10% respecively. KPSS criical values are: 0.216, 0.176, and a 1%, 2.5%, 5% and 10% levels. Null of saionariy is acceped if he ess saisic is less han he criical value. The null hypohesis in he case of ADF and PP is ha he series is non-saionary, whereas in he case of KPSS es i is series is saionary. Resuls of he sudy sugges ha he markes are no weak form efficien. DW es, which is a es for serial correlaions, has been used in he pas bu he explanaory power of he DW can be quesioned on he basis ha he DW only looks a he serial correlaions on one lags as such may no be appropriae es for he daily daa. Curren lieraure in he area of marke efficiency uses uni roo and es of saionariy. This noion of marke efficiency has an imporan bearing for he fund managers and invesmen bankers and more specifically he invesors who are seeking o diversify heir porfolios inernaionally. One of he criicisms of he supporers of he inernaional diversificaion ino emerging markes is ha he emerging markes are no efficien and as such he invesor may no be able o achieve he full poenial benefis of he inernaional diversificaion. CONCLUSIONS & IMPLICATIONS This paper examines he weak form efficiency in wo of he Indian sock exchanges which represen he majoriy of he equiy marke in India. We employ hree differen ess ADF, PP and he KPSS ess and find similar resuls. The resuls of hese ess find ha hese markes are no weak form efficien. These resuls suppor he common noion ha he equiy markes in he emerging economies are no efficien and o some degree can also explain he less opimal allocaion of porfolios ino hese markes. Since he resuls of he wo ess are conradicory, i is difficul o draw conclusions for pracical implicaions or for policy from he sudy. I is imporan o noe ha he BSE moved o a sysem of rolling selemen wih effec from 2 nd July 2006 from he previously used Badla sysem. The Badla sysem was a complex sysem of forward selemen which was no ransparen and was no accessible o many marke paricipans. The resuls of he NSE are similar (NSE had a cash selemen sysem from he beginning) o BSE suggesing ha he changes in selemen sysem may no significanly impac he resuls. On he conrary a conflicing viewpoin is ha he resuls of hese markes may have been influenced by volailiy spillovers, as such he resuls may be significanly differen if he changes in he selemen sysem are incorporaed in he analysis. The research in he area of volailiy spillover has argued ha he volailiy is ransferred across markes (Brailsford, 1996), as such he resuls of hese markes may be inerpreed cauiously. For fuure research, using a compuaionally more efficien model like generalized auoregressive condiional heeroskesdasiciy (GARCH) could help o clear his. REFERENCES 1. Abraham, A., Seyyed, F. J., and Alsakran, S. A. (2002) Tesing he random behaviour and efficiency of he Gulf sock markes, The Financial Review, 37(3), Appiah-Kusi, J. and Menyah, K. (2003) Reurn predicabiliy in African sock markes, Review of Financial Economics, 12(3) Bradley, J. V. (1968). Disribuion-Free Saisical Tess, Herman H. J. Lynge and Søn A/S, New Jersey. 4. Barnes P. (1986). Thin Trading and Sock Marke Efficiency: The Case Sudy of he Kuala Lumpur Sock Exchange, Journal of Business Finance & Accouning, Vol. 13(4), Winer,

7 5. Barua, S. K. (1987). Some Observaions on he Repor of he High Powered Commiee on he Sock Exchange Reforms, Annual Issue of ICFAI, Dec. 6. Basu, P. and Gupa, R. (2005). Is India vulnerable o financial crisis?: Lessons from he Asian experience. Paper presened a The 18 h Ausralian Finance and Banking Conference 2005, Sydney, December, 14-16, Brailsford, T. J. (1996). Volailiy Spillovers Across he Tasman, Ausralian Journal of Managemen, Vol 21, No 1, June. 8. Brooks, C. (2002). Inroducory Economerics for Finance, Cambridge Universiy Press, Cambridge. 9. Chan, K. C., Gup, B. E., and Pan, M. S. (1997). Inernaional Sock Marke Efficiency and Inegraion: A Sudy of Eigheen Naions, Journal of Business Finance and Accouning, 24 (6). 10. Cheung, K.C. and Cous, J.A. (2001) A noe on weak form marke efficiency in securiy prices: Evidence from he Hong Kong sock exchange, Applied Economics Leers, 8(6), Cheung, Y. L., Wong, K. A., and Ho, Y. K. (1993) The Pricing of Risky Asses in wo Emerging Asian Markes Korea and Taiwan, Applied Financial Economics 3, Issue 4 Dec Daar, M. K. and Basu, P. K. (2004) Financial secor reforms in India: Some insiuional imbalances, Conference Volume, Academy of World Business, Markeing and Managemen Developmen Conference, Gold Coas, Ausralia, July. 13. Dezelan, S. (2000) Efficiency of he Slovenian equiy marke, Economic and Business Review, 2(1), Dickinson, J. P. Muragu K. (1994). Marke Efficiency in Developing Counries: A Case Sudy of he Nairobi Sock Exchange, Journal of Business Finance & Accouning Vol. 21, No. 1, Dickey, D. A. and Fuller, W. A. (1979). Disribuion of he esimaes for auoregressive ime series wih a uni roo. Journal of American Saisical Associaion, 74, Durbin, J. and Wason, G. S. (1951), Tesing for Serial Correlaion in Leas Squares Regression II. Biomerika 38, Fama, E. (1970). Efficien Capial Markes: A Review of Theory and Empirical Work, Journal of Finance, 25, Fama, E. (1991). Efficien Capial Markes II, Journal of Finance, 46, Fama, E. (1998). Marke Efficiency, Long-Term Reurns, and Behavioural Finance, Journal of Financial Economics, 49:3, Faus, J. (1992). When Are Variance Raio Tess For Serial Dependence Opimal?, Economerica, Vol. 60, No. 5, French, K. (1980). Sock Reurns and he Weekend Effec, Journal of Financial Economics, 8, Gupa, R. (2006), Emerging Markes Diversificaion: Are Correlaions Changing Over ime? Inernaional Academy of Business and Public Adminisraion Disciplines (IABPAD) Conference, January 3-6, 2006, Orlando. 23. Groenewold, N. and Kang, K.C. (1993). The Semi-srong Efficiency of he Ausralian Share Marke, Economic Record, Vol. 69, Iss. 207, December, Ho, R. Y. and Cheung, Y. L. (1994). Seasonal paern in volailiy in Asia sock markes, Applied Financial Economics, 4, Kleiman, R. T. Payne, J. E., and Sahu, A. P. (2002). Random Walks and Marke Efficiency: Evidence from Inernaional Real Esae Markes, Journal of Planning Educaion and Research, Vol. 24, no. 3, Lee, C.F., Chen, G.M., and Rui, O.M. (2001) Sock reurns and volailiy on China s sock markes, Journal of Financial Research, 24(4), Lo, A. and MacKinlay, A. C. (1988). Sock marke prices do no follow random walks: Evidence from a simple specificaion es, Review of Financial Sudies, 1(1), Poshakwale, S. (1996). Evidence on Weak Form Efficiency and Day of he Week Effec in he Indian Sock Marke. Finance India, Vol X, No Regúlez, M. and Zarraga, A. (2002) Common feaures beween sock reurns and rading volume, Applied Financial Economics, 12(12), Ruerford, J. (1993). Inroducion o Sock Exchange Invesmen, Second Ediion, , The Macmillan Press Ld., London. 31. Ryoo, H.J. and Smih, G. (2002) Korean sock prices under price limis: Variance raio ess of random walks, Applied Financial Economics, 12(8),

8 32. Samuelson, P. (1965). Proof ha Properly Anicipaed Prices Flucuae Randomly. Indusrial Managemen Review. Spring 6, Smih, G., Jefferis, K., and Ryoo, H.J. (2002) African sock markes: muliple variance raio ess of random walks, Applied Financial Economics, 12(4), Will, M. (2006) The Role of Performances in an Accouning Scandal: An Insider s Perspecive on How Things Wen Wrong, Proceedings of 5 h Global Conference on Business & economics, Cambridge Universiy, UK, Paper No Worhingon, A. C. and Higgs, H. (2003). Weak-form Marke Efficiency in European Emerging and Developed Markes, Discussion paper no. 159, School of Economics and Finance, Queensland Universiy of Technology, Brisbane, Ausralia hp://nseindia.com/conen/indices/ind_faq8.hm, accessed on 1 s Sepember NOTES 64