A MUTUAL FUND INDEX APPROACH TO TESTING MARKET EFFICIENCY: A CASE OF NIFTY INDEX

Over the past two decades mutual funds have emerged as one of the key participantin Indian equity markets. Apart from attracting retail investors and supplying liquidity in themarkets, mutual funds have also provided illustrations for theoretical experiments. One suchtheoretical experiment is testing of capital market efficiency using mutual fund portfolioperformance. Market efficiency as a concept proposed by Eugene Fama in 1970 and wentonto prove to be one of the pivotal contribution in asset pricing model developments, provenrightfully with earning a Nobel award to Fama.

过去二十年间，共同基金已成为印度股票市场的核心参与者之一。除吸引个人投资者、为市场提供流动性外，共同基金还为各类理论实验提供了研究样本。其中一类典型的理论实验便是借助共同基金的投资组合业绩来检验资本市场效率（capital market efficiency）。资本市场效率这一概念由尤金·法玛（Eugene Fama）于1970年提出，后续被证实为资产定价模型发展历程中的核心贡献之一，法玛也因此当之无愧地斩获了诺贝尔经济学奖。