Stock market volatility and weak-form efficiency: evidence from an emerging market
by Abid Hameed, Hammad Ashraf
International Journal of Business and Emerging Markets (IJBEM), Vol. 1, No. 3, 2009

Abstract: Weak-form efficiency tests and volatility effects are modelled for Pakistani stock market using daily closing prices. It is found that returns series exhibit persistence and volatility clustering. Weak-form efficiency and mean variance hypothesis is rejected. Impact of SECP reforms have had a dampening effect on return volatility with a small increase witnessed in returns. Given the very small decline in return volatility, it seems that the policy impact can be characterised as neutral. Furthermore, it is found that 9/11 incident has led to increase in returns and a decrease in returns volatility.

Online publication date: Mon, 23-Feb-2009

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