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

Authors

  • Salma Naz MS Finance Scholar, Department of Business Administration, Sukkur IBA
  • Seema Razaque MS Finance Scholar, Department of Business Administration, Sukkur IBA
  • Hyder Ali Khuwaja MS Finance Scholar, Department of Business Administration, Sukkur IBA
  • Niaz Ahmed Bhutto Associate Professor, Department of Business Administration, Sukkur IBA

DOI:

https://doi.org/10.30537/sijmb.v1i1.83

Keywords:

KSE-100 shares index, Random Walk Hypothesis, informational weak form efficiency, unit root, autocorrelation and runs.

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.

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SIJMB Volume 1 No. 1

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Published

2014-10-30

Issue

Vol. 1 No. 1 (2014): SIJMB Volume 1 No. 1 (July - December, 2014)

Section

Articles

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