EN
Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010)
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
Details
Primary Language
English
Subjects
-
Journal Section
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Publication Date
December 1, 2011
Submission Date
December 1, 2011
Acceptance Date
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Published in Issue
Year 2011 Volume: 1 Number: 4
APA
Haque, A., Liu, H. C., & Nisa, F. U. (2011). Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010). International Journal of Economics and Financial Issues, 1(4), 153-162. https://izlik.org/JA38MG65NJ
AMA
1.Haque A, Liu HC, Nisa FU. Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010). IJEFI. 2011;1(4):153-162. https://izlik.org/JA38MG65NJ
Chicago
Haque, Abdul, Hung Chun Liu, and Fakhar Un Nisa. 2011. “Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010)”. International Journal of Economics and Financial Issues 1 (4): 153-62. https://izlik.org/JA38MG65NJ.
EndNote
Haque A, Liu HC, Nisa FU (December 1, 2011) Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010). International Journal of Economics and Financial Issues 1 4 153–162.
IEEE
[1]A. Haque, H. C. Liu, and F. U. Nisa, “Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010)”, IJEFI, vol. 1, no. 4, pp. 153–162, Dec. 2011, [Online]. Available: https://izlik.org/JA38MG65NJ
ISNAD
Haque, Abdul - Liu, Hung Chun - Nisa, Fakhar Un. “Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010)”. International Journal of Economics and Financial Issues 1/4 (December 1, 2011): 153-162. https://izlik.org/JA38MG65NJ.
JAMA
1.Haque A, Liu HC, Nisa FU. Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010). IJEFI. 2011;1:153–162.
MLA
Haque, Abdul, et al. “Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010)”. International Journal of Economics and Financial Issues, vol. 1, no. 4, Dec. 2011, pp. 153-62, https://izlik.org/JA38MG65NJ.
Vancouver
1.Abdul Haque, Hung Chun Liu, Fakhar Un Nisa. Testing the Week Form Efficiency of Pakistani Stock Market (2000-2010). IJEFI [Internet]. 2011 Dec. 1;1(4):153-62. Available from: https://izlik.org/JA38MG65NJ