Efficiency in a Thinly Traded Market: The Case of Pakistan
This paper tests the weak form efficiency hypothesis in the Pakistani equity market. Using daily closing prices of 36 stocks, 8 sector indices, and the market index from January 1, 1989 to December 30, 1993 and applying Serial correlation and Runs analysis, the paper does not find the market to be efficient. The market exhibits strong serial dependence and the factors responsible appear to be infrequent trading and stock returns volatility. The intertemporal behavior of serial dependence suggests that the serial dependence increased significantly when the market was opened to international investors but started to decrease after a year. The analysis indicates that the Pakistani market adjusts slowly to new information. This points to the weaknesses of the market regarding the dissemination of pertinent information to potential investors, suggesting that effective measures should be taken in this regard.
|Date of creation:||1999|
|Publication status:||Published in Savings and Development 4.23(1999): pp. 457-473|
|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.:
- Errunza, Vihang R., 1979. "Efficiency and the programs to develop capital markets : The Brazilian experience," Journal of Banking & Finance, Elsevier, vol. 3(4), pages 355-382, December.
- Conrad, Klaus & Juttner, D Johannes, 1973. "Recent Behaviour of Stock Market Prices in Germany and the Random Walk Hypothesis," Kyklos, Wiley Blackwell, vol. 26(3), pages 576-599.
- Errunza, Vihang R. & Losq, Etienne, 1985. "The behavior of stock prices on LDC markets," Journal of Banking & Finance, Elsevier, vol. 9(4), pages 561-575, December.
- 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.
- Errunza, Vihang, et al, 1994. "Conditional Heteroskedasticity and Global Stock Return Distributions," The Financial Review, Eastern Finance Association, vol. 29(3), pages 293-317, August.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Solnik, Bruno H, 1973. "Note on the Validity of the Random Walk for European Stock Prices," Journal of Finance, American Finance Association, vol. 28(5), pages 1151-1159, December.
- Dryden, Myles M, 1970. "A Statistical Study of U.K. Share Prices," Scottish Journal of Political Economy, Scottish Economic Society, vol. 17(3), pages 369-389, November.
- LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
- repec:cdl:ucsbec:13-89 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:5355. 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.