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

Author

Listed:
  • 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.)

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.

Suggested Citation

  • Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011. "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 153-162.
    • Handle: RePEc:eco:journ1:2011-04-2
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Ume Habibah & Niaz Hussain Ghumro & Manzoor Ali Mirani, 2017. "Testing the Random Walk Hypothesis: A Case of Pakistan," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(7), pages 551-564, July.
    2. Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.
    3. Sehrish Kayani & Usman Ayub & Imran Abbas Jadoon, 2019. "Adaptive Market Hypothesis and Artificial Neural Networks: Evidence from Pakistan," Global Regional Review, Humanity Only, vol. 4(2), pages 190-203, June.
    4. Erdas Mehmet Levent, 2019. "Validity of Weak-Form Market Efficiency in Central and Eastern European Countries (CEECs): Evidence from Linear and Nonlinear Unit Root Tests," Review of Economic Perspectives, Sciendo, vol. 19(4), pages 399-428, December.
    5. Siddique, Maryam, 2023. "Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange," OSF Preprints 9b5dx, Center for Open Science.
    6. Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
    7. Naz, Salma & Razaque, Seema & Khuwaja, Hyder Ali & Ahmed, Niaz, 2014. "Validity of EMH; A Case Study of KSE-100 Index," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 1(1), pages 112-126, October.

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    More about this item

    Keywords

    Weak Form Efficiency; Variance Raito; Random Walk;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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