Abstract:
A well known study, similar to this thesis, was conducted in May 2003 by Aneel Kanwer on the Karachi Stock Exchange whose findings were in accordance to the random walk hypothesis. This paper is an extension of his work, investigating, with the past 10 years monthly and daily data, of 8 companies. Its intention is to check whether prices in KSE follow a random-walk process as required by market efficiency. AN OVA has been used, as a functional tool, to check the significant difference between the monthly and daily returns to validate .that there is no 'day of the week effect' or 'month effect' in KSE. The theoretical framework indicates the unpredictability of future stock price changes based just on their past changes. Moreover, the results provide strong support and are consistent with the preponderance of modern efficient market studies in that historical stock returns are found to follow a random walk.
