International Journal of Science and Technology

International Journal of Science and Technology>> Volume 7, Number 9, September 2017

International Journal of Science and Technology

A Parametric and Non-Parametric Approach for Testing Random Walk Behavior and Efficiency of Pakistani Stock Market

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Author Faisal M. Zahid, Shahla Ramzan, Shumila Ramzan
On Pages 316-322
Volume No. 2
Issue No. 5
Issue Date May, 2012
Publishing Date May, 2012
Keywords Weak form efficiency, Karachi Stock Exchange, Parametric and non-parametric tests, Random walk model


This paper aims at testing weak form efficiency of Karachi stock exchange (KSE) market of Pakistan. Different parametric and nonparametric tests of random walk model are used. The bid and offer rates of Karachi Stock Exchange (KSE) of Pakistan for the period March 2000 to October 2011 are considered for investigating the weak form efficiency. The return series was found to be non-normal in the aspect of skewness and kurtosis. The Jarque-Bera test and Kolmogorov-Smirnov test also detected the violation of normality in the return series. The hypothesis of randomness in return series of KSE market is also rejected with runs test and auto-correlation test. The results revealed that stock return series do not follow the random walk model and the significant autocorrelation rejects the hypothesis of weak form efficiency

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