Comparative Performance Analysis of KMI 30 and KSE 30 Indices in Pakistan Stock Exchange

An Empirical Analysis

Authors

  • Dr Asif Ali Abro Newports Institute of Communications and Economics
  • Sarfraz Nawaz Khatri Newports Institute of Communications and Economics
  • Ahmed Raza ul Mustafa Department of Economics, Shaheed Benazir Bhutto University (SBBU), Shaheed Benazirabad

DOI:

https://doi.org/10.46568/kubrj.v2i2.41

Keywords:

Efficient Market Hypothesis, KMI-30 index, KSE-30 index, Returns, Volatility

Abstract

This study deals with the comparative performance of KMI-30 and KSE-30 indices of Pakistan stock exchange. The first index describes the Shariah Compliant index where the faith investors are interested in investing in Islamic financing mode, whereas the other index represents the conventional index. This research empirically tests the results on a secondary source. For this purpose, data has been extracted from July 1 to 2009 to June 30 2019, and the flow of frequency is daily. KMI-30 and KSE-30 indices closing values are considered independent variables whilst KMI-30 and KSE-30 indices return on the difference of today's and yesterday's index being considered dependent variables. Weak form market efficiency is checked based on the efficient market hypothesis assumption. There are several empirical tests have been applied to see the normality of the data. Findings proved that the data faces heteroskedasticity with the help of runs tests, ARCH and GARCH effects are also witnessed, and volatility clustering is also there between the indices. There is strong evidence for cointegration relationship between KMI-30 and KSE-30 indices in the long run but KSE-30 index does not have Granger cause over KMI-30 index. Finally, the efficient market hypothesis does not prevail over KMI-30 index and KSE-30 index and investors can predict the movement of the index and price of the share in the foreseeable future. Hence, shareholders can outperform from the market and earn the abnormal profit from both of the indices.

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Published

2021-12-31

How to Cite

Abro, D. A. A., Khatri, S. N., & Ahmed Raza ul Mustafa. (2021). Comparative Performance Analysis of KMI 30 and KSE 30 Indices in Pakistan Stock Exchange: An Empirical Analysis. Karachi University Business Research Journal, 2(2), 84–102. https://doi.org/10.46568/kubrj.v2i2.41

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Articles