Testing the Weak Form State of Market Efficiency: An Empirical Evidence of Shar¯ı‘ah Compliant Index
Naveed ul Hassan, Hafiz Zafar Ahmad
Published Online: December 2020
The Efficient Market Hypothesis (EMH) proposed by Fama is considered a central premise to explain market functioning. Current research tests the stock returns behaviour of Shar¯ı‘ah-compliant Karachi Stock Exchange Meezan Index (KMI 30) under weak form efficiency. Based on the nature of data, i.e. time series, both linear and non-linear techniques are employed to assess market efficiency. The study results portray that KMI-30 is an inefficient market, and there is dependence in the series.
EMH, Weak Form Efficiency, KMI-30, Variance Ratio Test, BDS Test. .