Examine Segment-Specific Weak-Form Efficiency in India: Empirical Evidence from Equity and Commodity Indices

Abstract

This study examined weak-form market efficiency in the Indian equity market across various segments from January 2021 to December 2025 using Runs and Autocorrelation tests. The analysis has employed daily returns of Nifty 50, Sensex, Nifty Smallcap 250, BSE Smallcap, Nifty Commodities and BSE Commodities indices to offer broader perspective across market segments. Stationarity property of all series has found at levels i.e., I(0) using ADF and PP tests. Runs test results exhibited statistically significant Z-statistic of all series. Thus, it implies dependence in returns sequence. Furthermore, Autocorrelation results revealed that returns of large-cap and commodities indices have followed randomness, consistent with weak-form efficiency. However, small-cap indices have exhibited significant autocorrelation, indicating market inefficiencies and short-term returns predictability. Therefore, these divergence highlights market disparities across segments, with small-cap stocks being more prone to informational asymmetry and speculative tendencies.

Keywords: Autocorrelation, Financial market, Investors behaviour, Runs test, Weak-form efficiency.

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