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Lead-Lag Relationship In Spot And Future Market: Evidence From Pakistani Stock Market Kse-100 Index, Hamid Ullah, Attaullah Shah
Lead-Lag Relationship In Spot And Future Market: Evidence From Pakistani Stock Market Kse-100 Index, Hamid Ullah, Attaullah Shah
Business Review
This paper has investigated the Efficient Market Hypothesis (EMH) through the concept of lead-lag relationship of the future market prices and spot market prices in the context of Pakistani stock market. The study has used data of randomly selected one hundred and forty firms listed on the Karachi stock exchange from January 1995 to March 2012. Spot and future indexes have been developed from the closing prices through the Price-Weighted index method. First stationarity of the data has been checked through AugmentedDicky Fuller test then GARCH (1,1) model has estimated for both the spot and future index returns in order …