Investigating the weak form efficiency of an emerging market by using parametric tests: evidence from Karachi stock market of Pakistan


This paper focuses on the existence of weak from efficiency whether the Karachi Stock Exchange (KSE) is efficient market or not. The sample includes the daily and monthly closing prices of KSE- 100 indexes for the period of 1st January1999 to 31st August 2009. Several different parametric approaches: unit root test, autocorrelation tests and ARIMA model are used to test the certainty of the KSE market. All parametric methods tell us that both return series do not follow the random walk model and the significance autocorrelation reject the hypothesis of weak from efficiency. Generally, results from the observed analysis strongly recommend that the Karachi Stock Market of Pakistan is not efficient in weak from.

DOI Code: 10.1285/i20705948v3n1p52

Keywords: KSE, Random Walk, Efficient market and ARIMA.

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