EFFICIENT MARKET HYPOTHESES: EVIDENCE FROM KARACHI STOCK EXCHANGE(KSE)

This study is focused on KSE in context of EMH & seeks evidence of Weak & Semi strong form of efficiency of KSE 100 index from Dec 31st 2003-4th March, 2010. WFEMH tested with the RWM. Chi- Square,Kolmogrov Smirnov,Run test & Autocorrelation test were used. For semi strong form, the relevant conceptual testing was conducted to check Weekday effect, Weekend effect, January effect & religious Holidays' effect. These all tests were performed on the original data of closing prices. ARIMA model was used to verify results. The results provide evidence that series of market prices do not follow random walk model

Autorentext

Author s Name: Qurat-ul-ain. M.Com, UOB, 1st class. MBA (Finance) from SOM, AIT 2010, Scholarship donor BUITEMS & AIT Fellowship. Lecturer FMS, BUITEMS, Pakistan. Her selected thesis was declared as second best in Master s thesis competition.

Klappentext

This study is focused on KSE in context of EMH & seeks evidence of Weak & Semi strong form of efficiency of KSE 100 index from Dec 31st 2003-4th March, 2010. WFEMH tested with the RWM. Chi- Square,Kolmogrov Smirnov,Run test & Autocorrelation test were used. For semi strong form, the relevant conceptual testing was conducted to check Weekday effect, Weekend effect, January effect & religious Holidays'' effect. These all tests were performed on the original data of closing prices. ARIMA model was used to verify results. The results provide evidence that series of market prices do not follow random walk model