메뉴 건너뛰기




Volumn 7, Issue 1, 2006, Pages 67-81

Market Efficiency for the Pakistan Stock Market: Evidence from the Karachi Stock Exchange

Author keywords

ARMA Modelling; Efficient market hypothesis; random walk hypothesis; variance ratio test

Indexed keywords


EID: 84993729229     PISSN: 13915614     EISSN: None     Source Type: Journal    
DOI: 10.1177/139156140500700104     Document Type: Article
Times cited : (17)

References (33)
  • 1
    • 84993690636 scopus 로고
    • Permanent and Temporary Components in the Indian Stock Market Returns
    • Barman, R.B. and T.P. Madhusoodanan (1993), ‘Permanent and Temporary Components in the Indian Stock Market Returns’, RBI Occasional Papers, 14 (2): 81–132.
    • (1993) RBI Occasional Papers , vol.14 , Issue.2 , pp. 81-132
    • Barman, R.B.1    Madhusoodanan, T.P.2
  • 2
    • 0011687264 scopus 로고
    • Mean Reversion and Consumption Smoothing
    • Black, F. (1990), ‘Mean Reversion and Consumption Smoothing’, Review of Financial Studies, 3 (1): 107–14.
    • (1990) Review of Financial Studies , vol.3 , Issue.1 , pp. 107-114
    • Black, F.1
  • 4
    • 0000433727 scopus 로고
    • A Variance Decomposition for Stock Returns
    • Campbell, J.Y. (1991), ‘A Variance Decomposition for Stock Returns’, The Economic Journal, 101 (405): 157–79.
    • (1991) The Economic Journal , vol.101 , Issue.405 , pp. 157-179
    • Campbell, J.Y.1
  • 5
    • 84977717068 scopus 로고
    • Stock Prices, Earnings and Expected Dividends
    • Campbell, J.Y. and R.J. Shiller (1988). ‘Stock Prices, Earnings and Expected Dividends’, Journal of Finance, 43 (3): 661–76.
    • (1988) Journal of Finance , vol.43 , Issue.3 , pp. 661-676
    • Campbell, J.Y.1    Shiller, R.J.2
  • 6
    • 0000113741 scopus 로고
    • Mean Reversion in Equilibrium Asset Prices
    • Cecchetti, S.G., Pok-Sam Lam and N.C. Mark (1990), ‘Mean Reversion in Equilibrium Asset Prices, American Economic Review, 80 (3): 398–418.
    • (1990) American Economic Review , vol.80 , Issue.3 , pp. 398-418
    • Cecchetti, S.G.1    Mark, N.C.2
  • 7
    • 84993775439 scopus 로고
    • Short Run Behavior of Industrial Share Price Indices: An Empirical Study of Returns, Volatility and Covariance Structure
    • Chaudhury, S.K. (1991 a), ‘Short Run Behavior of Industrial Share Price Indices: An Empirical Study of Returns, Volatility and Covariance Structure’, Prajnan, 20 (2): 99–113.
    • (1991) Prajnan , vol.20 , Issue.2 , pp. 99-113
    • Chaudhury, S.K.1
  • 8
    • 80054883759 scopus 로고
    • Short-Run Price Behavior: New Evidence on Weak Form of Market Efficiency
    • Chaudhury, S.K. (1991 b), ‘Short-Run Price Behavior: New Evidence on Weak Form of Market Efficiency’, Vikalpa, 16 (4): 17–21.
    • (1991) Vikalpa , vol.16 , Issue.4 , pp. 17-21
    • Chaudhury, S.K.1
  • 9
    • 0002449203 scopus 로고
    • Speculative Dynamics and the Role of Feedback Traders
    • Cutler, D.M., J.M. Poterba and L.H. Summers (1990), ‘Speculative Dynamics and the Role of Feedback Traders’, American Economic Review, 80 (2): 63–68.
    • (1990) American Economic Review , vol.80 , Issue.2 , pp. 63-68
    • Cutler, D.M.1    Poterba, J.M.2    Summers, L.H.3
  • 10
    • 84900013243 scopus 로고
    • Does the Stock Market Overreact?
    • De Bondt, W.F.M. and R. Thaler (1985), ‘Does the Stock Market Overreact?’, The Journal of Finance, 40 (3): 793–805.
    • (1985) The Journal of Finance , vol.40 , Issue.3 , pp. 793-805
    • De Bondt, W.F.M.1    Thaler, R.2
  • 11
    • 84977703147 scopus 로고
    • Further Evidence on Overreaction and Stock Market Seasonality
    • De Bondt, W.F.M. and R. Thaler (1987), ‘Further Evidence on Overreaction and Stock Market Seasonality’, The Journal of Finance, 42 (3): 557–81.
    • (1987) The Journal of Finance , vol.42 , Issue.3 , pp. 557-581
    • De Bondt, W.F.M.1    Thaler, R.2
  • 12
  • 13
    • 0000480869 scopus 로고
    • Efficient Capital Markets: A Review of Theory and Empirical Work
    • Fama. E. (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’, The Journal of Finance, 25 (2): 387–417.
    • (1970) The Journal of Finance , vol.25 , Issue.2 , pp. 387-417
  • 14
    • 0000029776 scopus 로고
    • Efficient Capital Markets: II
    • ): 1575–1617.
    • Fama. E (1991), ‘Efficient Capital Markets: II’, The Journal of Finance, 46 (5): 1575–1617.
    • (1991) The Journal of Finance , vol.46 , Issue.5
  • 15
    • 84936823605 scopus 로고    scopus 로고
    • Permanent and Temporary Components of Stock Prices
    • Fama, Eugene, and Kenneth R. French (1998 a), ‘Permanent and Temporary Components of Stock Prices’, Journal of Political Economy, 96 (2): 246–73.
    • (1998) Journal of Political Economy , vol.96 , Issue.2 , pp. 246-273
    • Fama, E.1    Kenneth, R.F.2
  • 16
    • 0002056097 scopus 로고    scopus 로고
    • Dividend Yields and Expected Stock Returns
    • Fama, Eugene, and Kenneth R. French (1998 b), ‘Dividend Yields and Expected Stock Returns’, Journal of Financial Economics, vol. 22 (1): 3–25.
    • (1998) Journal of Financial Economics , vol.22 , Issue.1 , pp. 3-25
    • Fama, E.1    Kenneth, R.F.2
  • 17
    • 0031544722 scopus 로고    scopus 로고
    • The Random Walk Model in the Pakistani Equity Market: An Examination
    • Husain, Fazal (1997), ‘The Random Walk Model in the Pakistani Equity Market: An Examination’, The Pakistan Development Review, 36 (3): 221–40.
    • (1997) The Pakistan Development Review , vol.36 , Issue.3 , pp. 221-240
    • Husain, F.1
  • 18
    • 84977718628 scopus 로고
    • Evidence of Predictable Behavior of Security Returns
    • Jegadeesh, N. (1990), ‘Evidence of Predictable Behavior of Security Returns’, The Journal of Finance, vol. 45 (3): 881–98.
    • (1990) The Journal of Finance , vol.45 , Issue.3 , pp. 881-898
    • Jegadeesh, N.1
  • 19
    • 0001281632 scopus 로고
    • Some Anomalous Evidence Regarding Market Efficiency
    • Jensen, M. (1978), ‘Some Anomalous Evidence Regarding Market Efficiency’, Journal of Financial Economics, 6(2 and 3): 95–101.
    • (1978) Journal of Financial Economics , vol.6 , Issue.2-3 , pp. 95-101
    • Jensen, M.1
  • 21
    • 0001478073 scopus 로고
    • The Behavior of Stock Returns in an Emerging Market: A Case Study of Pakistan
    • Khilji, N. (1993), ‘The Behavior of Stock Returns in an Emerging Market: A Case Study of Pakistan’, The Pakistan Development Review, 32 (4): 593–604.
    • (1993) The Pakistan Development Review , vol.32 , Issue.4 , pp. 593-604
    • Khilji, N.1
  • 22
    • 84977729848 scopus 로고
    • A Variance Ratio Test of Random Walks in Foreign Exchange Rates
    • Liu, C.Y. and J. He (1991), ‘A Variance Ratio Test of Random Walks in Foreign Exchange Rates’, The Journal of Finance, 46 (2): 773–85.
    • (1991) The Journal of Finance , vol.46 , Issue.2 , pp. 773-785
    • Liu, C.Y.1    He, J.2
  • 23
    • 0000225711 scopus 로고
    • On a Measure of Lack of Fit in Time Series Models
    • Ljung, G.M. and G.P.E. Box (1978), ‘On a Measure of Lack of Fit in Time Series Models’, Biometrika, 66 (1): 66–72.
    • (1978) Biometrika , vol.66 , Issue.1 , pp. 66-72
    • Ljung, G.M.1
  • 24
    • 0002484986 scopus 로고
    • Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test
    • Lo, A.W. and A.C. Mackinlay (1988), ‘Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test’, The Review of Financial Studies, 1 (1): 41–66.
    • (1988) The Review of Financial Studies , vol.1 , Issue.1 , pp. 41-66
    • Lo, A.W.1    Mackinlay, A.C.2
  • 25
    • 45249127135 scopus 로고
    • The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation
    • Lo, A.W. and A.C. Mackinlay (1989), ‘The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation’, Journal of Econometrics, 40 (2): 203–38.
    • (1989) Journal of Econometrics , vol.40 , Issue.2 , pp. 203-238
    • Lo, A.W.1    Mackinlay, A.C.2
  • 27
    • 84993804865 scopus 로고    scopus 로고
    • Persistence in the Indian Stock Market Returns: An Application of Variance Ratio Test
    • Madhusoodanan, T.P. (1998), ‘Persistence in the Indian Stock Market Returns: An Application of Variance Ratio Test’, Vikalpa, 23 (4): 61–73.
    • (1998) Vikalpa , vol.23 , Issue.4 , pp. 61-73
    • Madhusoodanan, T.P.1
  • 29
    • 67549106222 scopus 로고    scopus 로고
    • Weak Form Market Efficiency of an Emerging Market: Evidence from Dhaka Stock Market of Bangladesh
    • Mobarek Asma, and Keaven Keasey (2000), ‘Weak Form Market Efficiency of an Emerging Market: Evidence from Dhaka Stock Market of Bangladesh’, Paper presented at the ENBS Conference at Oslo.
    • (2000) Paper presented at the ENBS Conference at Oslo
    • Mobarek, A.1    Keaven, K.2
  • 30
    • 0002158052 scopus 로고
    • Mean Reversion in Stock Prices: Evidence and Implications
    • Poterba James, M. and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’, Journal of Financial Economics, 22 (1): 27–59.
    • (1988) Journal of Financial Economics , vol.22 , Issue.1 , pp. 27-59
    • Poterba James, M.1    Lawrence, H.S.2
  • 31
    • 84993789339 scopus 로고    scopus 로고
    • Concept of Relative Efficiency: Application to Indian Stock Markets in the 1990s
    • (2001–02)
    • Ramasastri, A.S. (2001–02), ‘Concept of Relative Efficiency: Application to Indian Stock Markets in the 1990s’, Prajnan, 30 (2): 199–212.
    • Prajnan , vol.30 , Issue.2 , pp. 199-212
    • Ramasastri, A.S.1
  • 33
    • 84993804828 scopus 로고    scopus 로고
    • Do Indian Stock Prices Follow Random Walk? An Enquiry
    • Sharma, J.C. (2002), ‘Do Indian Stock Prices Follow Random Walk? An Enquiry’, Asian Economic Review, 44 (1): 86–102.
    • (2002) Asian Economic Review , vol.44 , Issue.1 , pp. 86-102
    • Sharma, J.C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.