Testing the Weak Form Efficiency in Pakistan’s Equity, Badla and Money Markets
The paper test the weak form market efficient hypothesis for Pakistan’s equity, badla and money markets with an aim to investigate which one of them is most efficient in the weak form sense. The analysis provides evidence, under the assumption of heteroscedasticity, that the KSE is weak-form efficient over the full-length sample period. Nevertheless, the analysis reports that over the same period the other two markets viz. badla and money are not weak form efficient. The badla market was efficient over the first sub-period. An important finding of this effort is that “badla mechanism” became weak form inefficient after equity market severely affected in February 2005. Inefficient badla market may be one of the major reasons behind the malicious instability of the equity market in Pakistan. We hope that this finding can guide the policymakers in formulating strategies to provide a weighing scale in financial mechanism.
|Date of creation:||2009|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hausman, Jerry, 2015.
"Specification tests in econometrics,"
Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
- Andrew W. Lo & A. Craig MacKinlay, 1987.
"Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test,"
NBER Working Papers
2168, National Bureau of Economic Research, Inc.
- Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
- Richardson, Matthew P & Smith, Tom, 1994. "A Unified Approach to Testing for Serial Correlation in Stock Returns," The Journal of Business, University of Chicago Press, vol. 67(3), pages 371-399, July.
- Neftci, Salih N & Policano, Andrew J, 1990. "On Some Sample Path Properties of Intra-day Futures Prices," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 529-536, August.
- Bessembinder, Hendrik & Chan, Kalok, 1992. "Time-varying risk premia and forecastable returns in futures markets," Journal of Financial Economics, Elsevier, vol. 32(2), pages 169-193, October.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:22285. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.