Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)

Abdul Haque, Hung-Chun Liu and Fakhar-Un-Nisa
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Abdul Haque: Department of Management Sciences, COMSATS Lahore, Pakistan.
Hung-Chun Liu: Department of Finance, Minghsin University of Science and Technology,Taiwan
Fakhar-Un-Nisa: Department of Management Sciences, COMSATS Lahore, Pakistan.

International Journal of Economics and Financial Issues, 2011, vol. 1, issue 4, 153-162

Abstract: This empirical paper tests out the weak form efficiency of Pakistani stock market by examining the weekly KSE ?100 index over the period 2000 ? 2010 . Return series has a leptokurtic and negatively skewed distribution, which is away from normal distribution as reflected by significant Jarque-Bera statistic. Estimated results of ADF (1979), PP (1988) and KPSS (1992) tests, Ljung-Box Q-Statistic of autocorrelations and runs test of randomness reject the Random Walk Hypothesis (RWH) for the returns series. Moreover the results of variance ratio test (Lo and MacKinlay (1988)) also reject the RWH and prove the robustness of other estimated results. The rejection of RWH reveals that the Pakistani stock prices are not Weak Form Efficient.

Keywords: Weak Form Efficiency; Variance Raito; Random Walk (search for similar items in EconPapers)
JEL-codes: C22 G12 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2011-04-2

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