Abstract
This study investigates the weak form of efficiency of Karachi stock
exchange using daily, weekly and monthly data for the period of June
2002 to June 2012. This study employs different parametric and nonparametric tests for examining random walks i.e., Jarque-Bera and
Kolmogrov-Smirnov (KS) test for normality, autocorrelation and Run
test for autocorrelation, Augmented Dickey-Fuller (ADF) and PhillipsPerron (PP) for stationarity and multiple variance ratio (MVR) tests.
The results of this study indicate that by using all approaches none of
the returns (daily, weekly and monthly) are following random walk and
it is concluded that Pakistani stock market is not weak form efficient.
The investors have an opportunity to get benefit from the predictable
behavior of this market.
Ahmad Fraz, Arshad Hassan. (2016) Testing Information Efficiency using Random Walk Model: Empirical evidence from Karachi stock exchange, Journal of Managerial Sciences, Volume 10, Issue 2.
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