Depiction of Nifty Midcap Index Efficiency Using ARIMA

In recent years, the desirability of midcaps in Indian stock markets has received considerable attention from researchers, academicians, and financial analysts due to expectation of multi-bagger returns. The present study is undertaken to determine the market efficiency of Indian stock market using Nifty Midcap Index at High Frequency. The market efficiency of Nifty Midcap Index is determined using ARIMA technique. The fitted ARIMA model had a MASE value close to one. Hence, the findings suggest that the Nifty Midcap Index is inefficient.