Record Details

Evidence of random walk in Pakistan stock exchange: An emerging stock market study

Journal of Economics Library

View Archive Info
 
 
Field Value
 
Title Evidence of random walk in Pakistan stock exchange: An emerging stock market study
 
Creator SHAMSHIR, Musarrat; Hamdard University, Karachi-Pakistan
BAIG, Mirza Jawwad; Institute of Space and Planetary Astrophysics (ISPA), Faculty of Science, University of Karachi, Karachi- Pakistan.
MUSTAFA, Khalid;

Department of Economics, Faculty of Social Sciences, University of Karachi, Karachi-Pakistan.
 
Subject Random walk; Weak-form efficiency; Karachi stock exchange; Pakistan stock exchange; Unit root test; Autocorrelation.
G10; G12; G14.
 
Description Abstract. The study reports the empirical evidence on the presence of weak-form efficiency under the random walk hypothesis on the emerging stock market of Pakistan; Pakistan stock exchange (PSX), formerly known as Karachi stock exchange (KSE) from January 01, 2009 to August 31, 2014, by investigating two categories of stock indices; one in which the selection of firms is based upon market capitalization and the other where the selection criteria of firms is based upon free-float methodology. The study applied both non-parametric and parametric tests; Kolgomorov-Simirnov (K-S), runs, serial correlation and unit root tests on daily returns of KSE-100 index; KSE- all share index; KSE-30 index and KMI-30 index. The study finds absence of random walk on the former two indices, where chronology of firms and selection criteria are based on traditional market capitalization technique. However, evidence of random walk is found in stock-indices where selection of firms is based on free floating methodology. The trace of random walk advocates the free floating methodology over market capitalization criteria.Keywords. Random walk, Weak-form efficiency, Karachi stock exchange, Pakistan stock exchange, Unit root test, Autocorrelation.JEL. G10, G12, G14.
 
Publisher Journal of Economics Library
 
Contributor —
 
Date 2018-03-18
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.kspjournals.org/index.php/JEL/article/view/1605
10.1453/jel.v5i1.1605
 
Source Journal of Economics Library; Vol 5, No 1 (2018): March; 103-117
2149-2379
 
Language eng
 
Relation http://www.kspjournals.org/index.php/JEL/article/view/1605/1598
http://www.kspjournals.org/index.php/JEL/article/downloadSuppFile/1605/813
 
Rights Copyright (c) 2018 Journal of Economics Library
http://creativecommons.org/licenses/by-nc/4.0