Published Online:March 2026
Product Name:The IUP Journal of Financial Risk Management
Product Type:Article
Product Code:IJFRM020326
DOI:10.71329/IUPJFRM/2026.23.1.24-32
Author Name:Sourav Das
Availability:YES
Subject/Domain:Finance
Download Format:PDF
Pages:24-32
This study assesses weak-form efficiency during volatile periods in leading global stock markets and India. Runs and autocorrelation tests are employed to examine randomness in the sequence of price changes and linear relationship between current and lagged returns, respectively. The study uses daily returns from major Indian and global stock markets, including US, Japan, Hong Kong, UK and China, for the period January 2020 to March 2025. The results show that the Indian stock market exhibited nonrandomness, implying market inefficiency. However, most global stock markets exhibited randomness, except US and UK, which revealed predictable return patterns. Therefore, market efficiency varies across countries due to differences in market structure and prevailing economic conditions.
Financial markets are viewed as an opportunity for earning excess returns, specifically during volatile periods. Furthermore, the possibility of earning excess returns is associated with market efficiency. According to Fama (1965), market efficiency posits that security prices fully incorporate all available historical information. However, the economic disruption during 2020, triggered by the Covid-19 pandemic, inflation pressures and geopolitical tensions, marked an exceptionally volatile phases in recent times.