Stock Return Predictability and Market Efficiency in Pakistan; A Role of Asian Growing Economies of India and Malaysia


  • Syed Usman Qadri Times, Institute Multan
  • Naveed Iqbal Capital University of Science and Technology, Islamabad, Pakistan
  • Syeda Shamaila Zareen PhD Scholar, Beijing University of Technology



Stock Market Returns Predictability, Stock Market crash, Market efficiency


The purpose of this study is to determine the predictability of the Pakistani stock market's one-day forward returns by utilizing lagged daily returns for Pakistan, India, and Malaysia from 2006 to 2016. The findings indicate that lagged Pakistani market returns significantly predict Pakistani one-day ahead market returns. However, the other two growing stock markets, India and Malaysia, show no association with one-day ahead market returns. Mostly, stock market behavior in the pre-2008 and post-2008 eras was the same, although industry return behaviour was different due to the economic crisis of 2008. However, the Pakistani stock market one-day ahead returns predict the own Pakistani lag returns due to an inefficient market and prices do not follow a random walk. As a result, investors and financial analysts can foresee and generate anomalous returns by using previous data and information.

Key words: Stock Market Returns Predictability, Stock Market crash, Market efficiency