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Full-Text Articles in Finance and Financial Management
Interest Rate Sensitivity And Stock Returns, Mohsin R. Khan, Zahid Mahmood
Interest Rate Sensitivity And Stock Returns, Mohsin R. Khan, Zahid Mahmood
Business Review
This paper investigates the sensitivity of interest rate to stock return of financial institutions traded at Karachi Stock Exchange. Two Index Model of Stone and Bernell(1974) have been used to test the proposition of the present study. Three different portfolios of financial institutions have been examined against sensitivity of actual and unanticipated interest rates. Repo rate/Policy rate instead of t-bill rate is used for the proxy of interest rate. The data is collected from twenty nine financial institutions covering the time period from 2004 to 2011. Unit root test, co integration and error correction mechanism have been checked before proceeding …
An Empirical Study On Weak Market Efficiency Of Karachi Stock Exchange, Jaihan Zulqarnain, Syed Muhammad Amir Shah
An Empirical Study On Weak Market Efficiency Of Karachi Stock Exchange, Jaihan Zulqarnain, Syed Muhammad Amir Shah
Business Review
A lot of research has been conducted to check whether the Frontier and emerging markets show weak form of efficiency or follow a random walk. Karachi Stock Exchange, being a frontier market, was tested on the basis of daily closing values from 2006 to 2011. The study showed KSE to be a weak form inefficient market following non randomness. Three tests were applied on the data. KSE proved to have a unit root, the values in the series showed a strong correlation. Moreover, a Z-statistic value was far greater than 1.96 which proved KSE to be an inefficient market. Inefficient …