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Title An Empirical Test of Weak Form Efficiency in Pakistan Stock Exchange Using Wright Rank and Sign Test

Author(s) WAQAR ZAREEN

Abstract ABSTRACT An Empirical Test of Weak Form Efficiency in Pakistan Stock Exchange Using Wright Rank and Sign Test This paper focuses on the existence of weak from efficiency whether the Pakistan Stock Exchange (PSE) is efficient market or not. The sample includes the daily and monthly closing prices of PSX- 100 indexes for the period from7th march 2000 to 28thjune 2015. Several different parametric approaches: Wright Rank and Sign tests are used to test the certainty of the PSE market. Heteroscadastitcity based variance ratio test showed statistically significant results based on Joint test as well as the individual test. While the Wright Rank variance based ratio test having homoscedasticity also showed statistically significant result. 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 Pakistan Stock Market is efficient in weak from. Keywords: Market Efficiency, Technical Analysis, Pakistan Stock Exchange, Random Walk

Type Thesis/Dissertation MS

Faculty Management Sciences

Department Management Sciences

Language English

Publication Date 2018-09-09

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Rights NUML Peshawar Campus