IDEAS home Printed from https://ideas.repec.org/a/ris/ibajmb/0007.html
   My bibliography  Save this article

Validity of EMH; A Case Study of KSE-100 Index

Author

Listed:
  • Naz, Salma

    () (Sukkur Institute of Business Administration)

  • Razaque, Seema

    () (Sukkur Institute of Business Administration)

  • Khuwaja, Hyder Ali

    () (Sukkur Institute of Business Administration)

  • Ahmed, Niaz

    () (Sukkur Institute of Business Administration)

Abstract

The emerging markets offer major investments opportunities for a range of investors over the last decades especially after the global financial crises,which attracted the attention of investors and financial researchers towards the market efficiency.This research paper is designed to verify other researchers work, because some of them have provided contradictory results to test the market efficiency of Pakistani stock index (KSE-100). Average daily observations are considered for the period of twenty two years (November 02, 1991 to December 31, 2012). Unit Root tests (ADF, PP and KPSS), Runs test, Serial Autocorrelation (L-Jung-Box Q statistic) techniques are used to analyze the market’s informational weak form efficiency. Return time series is not normally distributed because it is negatively skewed and leptokurtic. All of the tests applied provide sufficient statistical evidence to reject the Random Walk Hypothesis thus KSE-100 shares index is informational weak form inefficient.

Suggested Citation

  • Naz, Salma & Razaque, Seema & Khuwaja, Hyder Ali & Ahmed, Niaz, 2014. "Validity of EMH; A Case Study of KSE-100 Index," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 1(1), pages 112-126, October.
  • Handle: RePEc:ris:ibajmb:0007
    as

    Download full text from publisher

    File URL: https://doi.org/10.30537/sijmb.v1i1.83
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    1. Cooray, Arusha. & Wickremasinghe, Guneratne., 2007. "The efficiency of emerging stock markets: empirical evidence from the south asian region," Journal of Developing Areas, Tennessee State University, College of Business, vol. 41(1), pages 171-183, September.
    2. Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011. "Testing the Weak Form Efficiency of Pakistani Stock Market (2000–2010)," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 153-162.
    3. Abraham Abraham, 2002. "Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets," The Financial Review, Eastern Finance Association, vol. 37(3), pages 469-480, August.
    4. Eduardo Jose Araujo Lima & Benjamin Miranda Tabak, 2004. "Tests of the random walk hypothesis for equity markets: evidence from China, Hong Kong and Singapore," Applied Economics Letters, Taylor & Francis Journals, vol. 11(4), pages 255-258.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    KSE-100; shares; index; Random; Walk; Hypothesis; Informationally; weak;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:ibajmb:0007. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Irfan Ali Menon). General contact details of provider: http://edirc.repec.org/data/sibaspk.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.