Indian Stock Market: A Test of a Semi-Strong form Efficienty

This paper attempts to test the stock market efficienty (in a semi-strong form) by investigating the relationsship between aggregate stock returns and a number of important macro variables including fiscal and monetary policy actions using the VAR methodology. This exercise is carried out using a set of Indian monthly data spanning over 1990:01 - 1998:12. Based on the Impulse Response functions and the Runkle-style confidence bands, the findings of the study suppor that the Indian Stock market is efficient with regard to the monetary and fiscal policy variables.