Testing for Market Efficiency in Emerging Markets: A Case Study of the Karachi Stock Market
Khalid Mustafa () and
Mohammed Nishat ()
Additional contact information
Mohammed Nishat: Professor and Chairman, Finance and Economics, Institute of Business Administration, Karachi, Pakistan.
Lahore Journal of Economics, 2007, vol. 12, issue 1, 119-140
This paper investigates the efficiency of the Karachi stock exchange (KSE) with corrections for thin trading and non-linearity as suggested by Miller, Muthuswamy and Whaley (1994). Daily, weekly, and monthly data on stock prices from December 1991 to May 2003 have been used, with three non-overlapping periods (December 1991 to May 1998; May 1998 to September 2001; and September 2001 to May 2003) and one combined period (May 1998 to May 2003). The results indicate that the Karachi Stock Market is efficient for the overall period, the three sub-periods, and the combined period in linear and non-linear behavior after making adjustments for thin trading. The same result is observed when the efficiency test is conducted on weekly and monthly data after adjusting for thin trading during the overall study period.
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
http://22.214.171.124/JOURNAL/V-12No1/06%20Khalid% ... nd%20M.%20Nishat.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:lje:journl:v:12:y:2007:i:1:p:119-140
Access Statistics for this article
More articles in Lahore Journal of Economics from Department of Economics, The Lahore School of Economics Contact information at EDIRC.
Series data maintained by Shahid Salahuddin ().