This paper tests the weak form efficiency hypothesis in the Pakistani equity market. Using daily closing prices of 36 stocks, 8 sector indices, and the market index from January 1, 1989 to December 30, 1993 and applying Serial correlation and Runs analysis, the paper does not find the market to...

This paper investigates the day of the week effect in the Pakistani equity market. Using daily data on eight sector indices as well as the general market index from January 1989 to December 1993, the analysis did not find, in general, significant differences in stock returns across trading days...

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

The aim of the paper is to estimate the day of the week effect in the stock markets in the Czech Republic, Hungary and Poland over the period 2006 – 2012. The entire period of estimation is divided to six sub-periods capturing individual phases of the financial and economic crisis. We...

Never has the issue of sovereign credit ratings attracted such an interest by policy and opinion makers, bankers and journalists, or even the public opinion, as witnessed in the last couple of years. In spite of being accused of contributing to the instability of financial markets, credit rating...

The objective of this study is to examine whether the notion of monetary neutrality hold in Malaysian stock market. Our findings indicate that there is considerable evidence against the long-run neutrality (LRN) of money in Malaysia’s stock market. The important implication is that the stock...

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...