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Validity of EMH; A Case Study of KSE-100 Index

Author

Listed:
  • Naz, Salma

    (Sukkur Institute of Business Administration)

  • Razaque, Seema

    (Sukkur Institute of Business Administration)

  • Khuwaja, Hyder Ali

    (Sukkur Institute of Business Administration)

  • Ahmed, Niaz

    (Sukkur Institute of Business Administration)

Abstract

The emerging markets offer major investments opportunities for a range of investors over the last decades especially after the global financial crises,which attracted the attention of investors and financial researchers towards the market efficiency.This research paper is designed to verify other researchers work, because some of them have provided contradictory results to test the market efficiency of Pakistani stock index (KSE-100). Average daily observations are considered for the period of twenty two years (November 02, 1991 to December 31, 2012). Unit Root tests (ADF, PP and KPSS), Runs test, Serial Autocorrelation (L-Jung-Box Q statistic) techniques are used to analyze the market’s informational weak form efficiency. Return time series is not normally distributed because it is negatively skewed and leptokurtic. All of the tests applied provide sufficient statistical evidence to reject the Random Walk Hypothesis thus KSE-100 shares index is informational weak form inefficient.

Suggested Citation

  • Naz, Salma & Razaque, Seema & Khuwaja, Hyder Ali & Ahmed, Niaz, 2014. "Validity of EMH; A Case Study of KSE-100 Index," Sukkur IBA Journal of Management and Business, Sukkur IBA University, vol. 1(1), pages 112-126, October.
    • Handle: RePEc:ris:ibajmb:0007
    DOI: 10.30537/sijmb.v1i1.83
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    References listed on IDEAS

    as
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    3. Abdul Haque & Hung-Chun Liu & Fakhar-Un-Nisa, 2011. "Testing the Weak Form Efficiency of Pakistani Stock Market (2000 2010)," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 153-162.
    4. Abraham Abraham & Fazal J. Seyyed & Sulaiman A. Alsakran, 2002. "Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets," The Financial Review, Eastern Finance Association, vol. 37(3), pages 469-480, August.
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    More about this item

    Keywords

    KSE-100; shares; index; Random; Walk; Hypothesis; Informationally; weak;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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    Access and download statistics

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