Abstract

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. KAUJIE Classification: L24, L4, L31, V12 JEL Classification: C1, G21, G24

Keywords

EMH, Weak Form Efficiency, KMI-30, Variance Ratio Test, BDS Test