Abstract
Previously security market research had been
focused mainly on developed economies with no attention
paid to the security markets of developing countries of
South East Asia. In an attempt to fill this gap in the
literature, this paper conducts an empirical investigation
of the random walk of security prices in Pakistani stock
markets. The Augmented Dickey fuller test, Ljung Box Q
test, Variance ratio test and a non parametric Run test has
been used for analysis of Random walk of security prices.
Results indicate the presence of some predictable
elements, which contradict with previous studies on
Karachi stock market. This is because of the difference in
number of observation used in previous studies and this
particular study. To conclude, the Karachi stock exchange
and Islamabad stock exchange does show a weak random
walk of security prices, while Lahore stock exchange show
strong random walk of security prices
Yasir Kamal , Dr. Kashif-Ur-Rehman. (2006) Random Walk of Security Prices: Empirical Evidence from KSE, LSE, and ISE, Journal of Independent Studies and Research-Management, Social Sciences and Economics, Volume-04, Issue-1.
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