Yasir Kamal Dr. Kashif-ur-Rehman (Bahria University, Islamabad)
Abstract
Previously security market research had been focused mainly on developed economies with no attention paid to the security markets of developing countries of South East Asia. In an attempt to fill this gap in the literature, this paper conducts an empirical investigation of the random walk of security prices in Pakistani stock markets. The Augmented Dickey fuller test, Ljung Box Q test, Variance ratio test and a non parametric Run test has been used for analysis of Random walk of security prices. Results indicate the presence of some predictable elements, which contradict with previous studies on Karachi stock market. This is because of the difference in number of observation used in previous studies and this particular study. To conclude, the Karachi stock exchange and Islamabad stock exchange does show a weak random walk of security prices, while Lahore stock exchange show strong random walk of security prices.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Volume (Year): 4 (2006) Issue (Month): 1 (January) Pages: 17-23 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Find related papers by JEL classification: A1 - General Economics and Teaching - - General Economics A2 - General Economics and Teaching - - Economic Education and Teaching of Economics