Open AccessTesting Market Efficiency, Predictability and Profitability at Pakistan Stock Exchange Using Firm-level Data
Author(s) -
Syed Arshad Ali Shah,
Naimat Ullah Khan,
Muhammad Daud Ali
Publication year - 2020
Publication title -
journal of accounting and finance in emerging economies
Language(s) - English
Resource type - Journals
eISSN - 2519-0318
pISSN - 2518-8488
DOI - 10.26710/jafee.v6i1.1054
Subject(s) - predictability , profitability index , stock exchange , closing (real estate) , market efficiency , business , monetary economics , stock (firearms) , stock market , financial economics , economics , econometrics , finance , mathematics , statistics , mechanical engineering , paleontology , horse , engineering , biology
This study examines market efficiency in the light of the simple moving average technical trading rules on daily closing share prices of 100 companies listed on Pakistan Stock Exchange over ten years from 2006 to 2015. The results show strong support for simple moving average rules having both predictability and profitability for PSX. It refers that the returns from these rules are not same as investors earn from a naïve buy and hold strategy. The uses of these simple moving average rules produce abnormal returns to investors and hence nullify the weak form of efficiency on PSX.