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Stock market volatility and weak-form efficiency: evidence from an emerging market

Author

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  • Abid Hameed
  • Hammad Ashraf

Abstract

Weak-form efficiency tests and volatility effects are modelled for Pakistani stock market using daily closing prices. It is found that returns series exhibit persistence and volatility clustering. Weak-form efficiency and mean variance hypothesis is rejected. Impact of SECP reforms have had a dampening effect on return volatility with a small increase witnessed in returns. Given the very small decline in return volatility, it seems that the policy impact can be characterised as neutral. Furthermore, it is found that 9/11 incident has led to increase in returns and a decrease in returns volatility.

Suggested Citation

  • Abid Hameed & Hammad Ashraf, 2009. "Stock market volatility and weak-form efficiency: evidence from an emerging market," International Journal of Business and Emerging Markets, Inderscience Enterprises Ltd, vol. 1(3), pages 249-263.
    • Handle: RePEc:ids:ijbema:v:1:y:2009:i:3:p:249-263
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    Cited by:

    1. Ushna Akber & Nabeel Muhammad, 2014. "Is Pakistan Stock Market Moving towards Weak-Form Efficiency? Evidence from The Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 808-836, June.
    2. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.

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