EMH or AMH? Evidence from the emerging Indian equity market

The study investigates the weak-form market efficiency within the Indian equity market considering the two approaches i.e., absolute and evolving market efficiency. This work provides an in-depth examination of weak-form market efficiency using a combination of linear and nonlinear statistical tests, including Ljung and Box, runs test, Bartel test, Variance ratio test, and BDS test,.In contrast to earlier research, which frequently used subsample analysis, the study considered rolling window analysis with the 500 observations to precisely capture the evolving efficiency. There is ample evidence that the efficiency of the Indian equity market varies across time, exhibiting both efficient and inefficient periods. To put it briefly, the research suggested that the Adaptive Market Hypothesis (AMH) provides a more holistic understanding of emerging market behavior compared to the EMH.