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Stock Market Volatility and Weak-form Efficiency: Evidence from an Emerging Market

  • Abid Hameed

    (State Bank of Pakistan, Karachi)

  • Hammad Ashraf

    (Bahria University, Islamabad)

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    No abstract is available for this item.

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    File URL: http://www.pide.org.pk/pdf/PDR/2006/Volume4/1029-1040.pdf
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    Article provided by Pakistan Institute of Development Economics in its journal The Pakistan Development Review.

    Volume (Year): 45 (2006)
    Issue (Month): 4 ()
    Pages: 1029-1040

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    Handle: RePEc:pid:journl:v:45:y:2006:i:4:p:1029-1040
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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. Khwaja, Asim Ijaz & Mian, Atif, 2005. "Unchecked intermediaries: Price manipulation in an emerging stock market," Journal of Financial Economics, Elsevier, vol. 78(1), pages 203-241, October.
    3. Husain, Fazal & UPPAL, Jamshed, 1999. "Stock Returns Volatility in an Emerging Market: The Pakistani Evidence," MPRA Paper 5270, University Library of Munich, Germany.
    4. Salman Syed Ali & Khalid Mustafa, 2001. "Testing Semi-strong Form Efficiency of Stock Market," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 40(4), pages 651-674.
    5. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    6. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    7. Patricia Fraser & David Power, 1997. "Stock return volatility and information: an empirical analysis of Pacific Rim, UK and US equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 241-253.
    8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    9. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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