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

Salma Naz (), Seema Razaque (), Hyder Ali Khuwaja () and Niaz Ahmed ()
Additional contact information
Salma Naz: Sukkur Institute of Business Administration, Postal: Sukkur Institute of Business Administration Airport Road Sukkur-65200, Sindh Pakistan
Seema Razaque: Sukkur Institute of Business Administration, Postal: Sukkur Institute of Business Administration Airport Road Sukkur-65200, Sindh Pakistan
Hyder Ali Khuwaja: Sukkur Institute of Business Administration, Postal: Sukkur Institute of Business Administration Airport Road Sukkur-65200, Sindh Pakistan
Niaz Ahmed: Sukkur Institute of Business Administration, Postal: Sukkur Institute of Business Administration Airport Road Sukkur-65200, Sindh Pakistan

Sukkur IBA Journal of Management and Business, 2014, vol. 1, issue 1, 112-126

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.

Keywords: KSE-100; shares; index; Random; Walk; Hypothesis; Informationally; weak (search for similar items in EconPapers)
JEL-codes: D53 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.30537/sijmb.v1i1.83 Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:ibajmb:0007

Access Statistics for this article

Sukkur IBA Journal of Management and Business is currently edited by Khalid Ahmed

More articles in Sukkur IBA Journal of Management and Business from Sukkur IBA University Publications Cell, Office of Research, Innovation & Commercialization - ORIC, Sukkur IBA University, Airport Road Sukkur-65200, Sindh, Pakistan. Contact information at EDIRC.
Bibliographic data for series maintained by Irfan Ali Menon ().