The random walk model in the Pakistani equity market: an examination

Pakistan Development Review

Volumn 36, Issue 3, 1997, Pages 221-240

  Husain, Fazal ^a  

^a PAKISTAN INSTITUTE OF DEVELOPMENT ECONOMICS   (Pakistan)

Author keywords

[No Author keywords available]

Indexed keywords

PRICE DYNAMICS; RANDOM WALK METHOD; STOCK MARKET;

PAKISTAN;

EID: 0031544722     PISSN: 00309729     EISSN: None     Source Type: Journal    
DOI: 10.30541/v36i3pp.221-240     Document Type: Article

References (17)

1. Ahmed, E., and J. B. Rosser (1995) Non-linear Speculative Bubbles in the Pakistani Stock Market. The Pakistan Development Review 34:1 25-41.
2. Aybar, C. B. (1992) Descriptive Analysis of Stock Returns Behaviour in an Emerging Equity Market: The Case of Turkey. Unpublished Ph.D. diss., Ohio State University, USA.
3. Conrad, K., and D. Juttner (1973) Recent Behaviour of Stock Market Prices in Germany and the Random Walk Hypothesis. Kyklos 26: 576-599.
4. Dryden, M. (1970) A Statistical Study of UK Share Prices. Scottish Journal of Political Economy 17: 369-389.
5. Errunza, V., and E. Losq (1985) The Behaviour of Stock Prices on LDC Markets. Journal of Banking and Finance 9: 561-575.
6. Fama, E. (1965) The Behaviour of Stock Market Prices. Journal of Business 38: 34-105.
7. Granger, M., and O. Morgenstern (1963) Spectral Analysis of New York Stock Market Prices. Kyklos 16: 1-27
8. Jennergren, L., and P. Korsvold (1975) The Non-random Character of Norwegian and Swedish Stock Market Prices. In E. J. Elton and M. J. Gruber (eds) International Capital Markets. Amsterdam: North-Holland : 37-54.
9. Jun, K., and Jamshed Uppal (1994) Portfolio Flows to Pakistan: Trends and Policies. A paper presented at the Private Sector Development Conference, Lahore University of Management Sciences, Lahore.
10. Kendall, M. (1953) The Analysis of Economic Time Series. Part I. Prices. Journal of the Royal Statistical Society 96: 11-25.
11. Khilji, N. (1993) The Behaviour of Stock Returns in an Emerging Market: A Case Study of Pakistan. The Pakistan Development Review 32:4 593-604.
12. Khilji, N. (1994) Non-linear Dynamics and Chaos: Application to Financial Markets in Pakistan. The Pakistan Development Review 33:4 1417-1429.
13. Laurence, M. (1986) Weak Form Efficiency in the Kuala Lumpur and Singapore Stock Markets. Journal of Banking and Finance 10: 431-445.
14. Malaikah, S. J. (1990) Saudi Arabia and Kuwait: A Study of Stock Market Behaviour and Its Policy Implications. Unpublished Ph.D. diss., Michigan State University, USA.
15. Mandelbrot, B. (1963) The Variation of Certain Speculative Prices. Journal of Business 36: 394-419.
16. Solnik, B. (1973) Note on the Validity of the Random Walk for European Stock Prices. Journal of Finance 28: 1151-1159.
17. Uppal, J. (1993) The Internationalisation of the Pakistani Stock Market: An Empirical Investigation. The Pakistan Development Review 32:4 605-618.