期刊名称：Electronic Journal of Applied Statistical Analysis
电子版ISSN：2070-5948
出版年度：2010
卷号：3
期号：1
页码：52-64
DOI：10.1285/i20705948v3n1p52
语种：English
出版社：University of Salento
摘要：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.
