Testing weak form efficiency of capital markets: A case of Pakistan

Muhammad Rizwan Qamar, Sania Rehman
2014 International Journal of Research Studies in Management  
Efficient Market Hypothesis has attracted considerable attentions from researchers of all over the world. A large number of studies have already been conducted by the researchers and a lot of importance has given to the emerging markets. Different studies give different outcomes on market efficiency of the emerging markets. To institute a more perfect conclusion about Market Efficiency in Pakistani financial markets this study is conducted on the major Stock Market of Pakistan such as the
more » ... n such as the Karachi Stock Exchange. Three econometric tests have applied on the daily data of KSE-100 index for two years from 2009 and 2010 including the famous Runs Test, Autocorrelation Function (ACF) test and the Augmented Dickey-Fuller (Unit Root) test. Different tests are applied to form a distinctive opinion on the Weak Form Efficiency of the KSE. The results of this study revealed that there exists a positive correlation in the KSE 100-index. The runs test gives zero p-value which shows continues growing trend. This illustrate that the performance of the market is inefficient. The similar results have been shown in the previous studies on the KSE.
doi:10.5861/ijrsm.2014.634 fatcat:thly4h5s6fhgvnlaww7ivs26bu