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Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data

Author

Listed:
  • Syed Arshad Ali Shah
  • Naimat Ullah Khan
  • Muhammad Daud Ali

Abstract

This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

Suggested Citation

  • Syed Arshad Ali Shah & Naimat Ullah Khan & Muhammad Daud Ali, 2020. "Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data," Journal of Accounting and Finance in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, vol. 6(1), pages 1-10, March.
    • Handle: RePEc:src:jafeec:v:6:y:2020:i:1:p:1-10
    DOI: http://doi.org/10.26710/jafee.v6i1.1054
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