Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)
AbstractThis empirical paper tests out the weak form efficiency of Pakistani stock market by examining the weekly KSE ?100 index over the period 2000 ? 2010 . Return series has a leptokurtic and negatively skewed distribution, which is away from normal distribution as reflected by significant Jarque-Bera statistic. Estimated results of ADF (1979), PP (1988) and KPSS (1992) tests, Ljung-Box Q-Statistic of autocorrelations and runs test of randomness reject the Random Walk Hypothesis (RWH) for the returns series. Moreover the results of variance ratio test (Lo and MacKinlay (1988)) also reject the RWH and prove the robustness of other estimated results. The rejection of RWH reveals that the Pakistani stock prices are not Weak Form Efficient.
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Bibliographic InfoArticle provided by Econjournals in its journal International Journal of Economics and Financial Issues.
Volume (Year): 1 (2011)
Issue (Month): 4 ()
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Weak Form Efficiency; Variance Raito; Random Walk;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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