The Market Efficiency of Socially Responsible Indices in India


  • Anshika Goel Amity International Business School, Amity University, I3 Block GF Amity University Noida, Sector 125, Noida, India
  • Namita Sahay Amity International Business School, Amity University, I3 Block GF Amity University Noida, Sector 125, Noida, India



Efficient market hypothesis, Environmental, social and governance, Socially responsible investment, Socially responsible indices


Socially Responsible Indices allow investors to invest in those companies which are deemed to be socially responsible. These indices comprise those constituent companies screened and assessed for environmental, social and governance (ESG) criteria. This paper analyses the weak form of the Efficient Market Hypothesis (EMH) for socially responsible investment indices in India. The authors used the daily closing price of two indices, Carbonex and Greenex, from June 3, 2013, to December 31, 2022. This study conducted Augmented Dickey Fuller, normality, and autocorrelation tests to analyse the randomness of prices and test whether the future price can be predicted using the past price. The weak form theory of the efficient market hypothesis is violated if the returns are not random and dependent on past returns, thereby enabling investors to gain abnormal returns by extrapolating the past data. The research results suggest that the theory of weak form of efficient market hypothesis is valid for Carbonex and Greenex, which are the socially responsible indices of India. It implies that the future movement of returns for socially responsible investment indices in India cannot be predicted from past prices. Therefore, the opportunity to gain abnormal returns is not possible.


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How to Cite

Goel, A., & Sahay, N. (2023). The Market Efficiency of Socially Responsible Indices in India. International Journal of Finance, Economics and Business, 2(4), 301–312.
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