Testing Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data

Syed Arshad Ali Shah, Naimat Ullah Khan and Muhammad Daud Ali

Journal of Accounting and Finance in Emerging Economies, 2020, vol. 6, issue 1, 1-10

Abstract: This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.

Keywords: Naive Buy and Hold Strategy; Efficient Market Hypothesis; Pakistan Stock Exchange; Predictability; Simple Moving Average Rules (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:src:jafeec:v:6:y:2020:i:1:p:1-10

DOI: 10.26710/jafee.v6i1.1054

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