Stock market volatility and weak-form efficiency: evidence from an emerging market

Abid Hameed and Hammad Ashraf

International Journal of Business and Emerging Markets, 2009, vol. 1, issue 3, 249-263

Abstract: Weak-form efficiency tests and volatility effects are modelled for Pakistani stock market using daily closing prices. It is found that returns series exhibit persistence and volatility clustering. Weak-form efficiency and mean variance hypothesis is rejected. Impact of SECP reforms have had a dampening effect on return volatility with a small increase witnessed in returns. Given the very small decline in return volatility, it seems that the policy impact can be characterised as neutral. Furthermore, it is found that 9/11 incident has led to increase in returns and a decrease in returns volatility.

Keywords: stock market volatility; circuit breakers; GARCH model; weak-form efficiency; emerging markets; financial market reforms; stock returns; KSE; Karachi Stock Exchange; Pakistan. (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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