Weak Form of Efficient Markets Hypothesis: A Spectral Analytic Investigation | Zendy

M. Ranganatham | Zendy; Venkat R. Subramanian | Zendy

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Weak Form of Efficient Markets Hypothesis: A Spectral Analytic Investigation

Author(s) -

M. Ranganatham,

Venkat R. Subramanian

Publication year - 1993

Publication title -

vikalpa the journal for decision makers

Language(s) - English

Resource type - Journals

eISSN - 2395-3799

pISSN - 0256-0909

DOI - 10.1177/0256090919930203

Subject(s) - efficient market hypothesis , assertion , econometrics , series (stratigraphy) , spectral analysis , economics , stock (firearms) , sample (material) , stock price , stock market , financial economics , mathematics , computer science , physics , geography , paleontology , quantum mechanics , spectroscopy , context (archaeology) , archaeology , biology , programming language , thermodynamics

Spectral analysis is a powerful tool in detecting hidden patterns and cycles in a time series. This paper by Ranganatham and Subramanian is an attempt to test empirically the weak form of Efficient Markets Hypothesis (EMH) using the frequency domain approach of spectral analysis. The results of the analysis show that there are some periodic cycles in the price movements which run counter to the assertion of weak form of EMH. For a better understanding of the structure of price movements in the Indian stock market, this study calls for the use of this technique on a larger sample of individual share price series.

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