Year: 2011
Type: article
Abstract: This empirical paper tests out the weak form efficiency of Pakistani stock market by examining the weekly index over the period . 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 WalkJEL Classifications: C22; G12; G14
Authors: Abdul Haque, Hung-Chun Liu, Fakhar-Un-Nisa
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $300
OpenAlex ID: W2163723809