  How an investor invests in the market is largely influenced by the market
efficiency because if a market is efficient, it is extremely difficult to make
excessive returns because in an efficient market there will be no undervalued
securities i.e. securities whose value is less than its assumed intrinsic
value, which offer returns that are higher than the deserved expected returns,
given their risk. However, there is a possibility of making excessive returns
if the market is not efficient. This article analyses the five popular stock
indices of BSE. This would not only test the efficiency of the Indian Stock
Market but also test the random walk nature of the stock market. The study
undertaken in this paper has provided strong evidence in favor of the
inefficient form of the Indian Stock Market. The series of stock indices in the
Indian Stock Market are found to be biased random time series and the random
walk model can't be applied in the Indian Stock Market. This study confirms
that there is a drift in market efficiency and investors can capitalize on this
by correctly choosing the securities that are undervalued.
