Open AccessStock Return Predictability and Market Efficiency in Pakistan; A Role of Asian Growing Economies of India and Malaysia
Author(s) -
Syed Usman Qadri,
Naveed Iqbal,
Syeda Shamaila Zareen
Publication year - 2021
Publication title -
annals of social sciences and perspective
Language(s) - English
Resource type - Journals
eISSN - 2788-8797
pISSN - 2707-7063
DOI - 10.52700/assap.v2i2.95
Subject(s) - predictability , stock market , economics , stock (firearms) , financial economics , stock market crash , monetary economics , business , geography , context (archaeology) , physics , archaeology , quantum mechanics
The purpose of this study is to determine the predictability of the Pakistani stock market's one-day forward returns by utilizing lagged daily returns for Pakistan, India, and Malaysia from 2006 to 2016. The findings indicate that lagged Pakistani market returns significantly predict Pakistani one-day ahead market returns. However, the other two growing stock markets, India and Malaysia, show no association with one-day ahead market returns. Mostly, stock market behavior in the pre-2008 and post-2008 eras was the same, although industry return behaviour was different due to the economic crisis of 2008. However, the Pakistani stock market one-day ahead returns predict the own Pakistani lag returns due to an inefficient market and prices do not follow a random walk. As a result, investors and financial analysts can foresee and generate anomalous returns by using previous data and information.
Key words: Stock Market Returns Predictability, Stock Market crash, Market efficiency