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Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes

    Authors

    • Zareen Zafar
    • Danish Ahmed Siddiqui

    Karachi University Business School, University of Karachi, Pakistan

,
10.33844/ijol.2020.60488
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Abstract

This study is based on pragmatic creations to make the hypothetical frame focusing on behavioral finance pattern for finding the sagacity of investors, stock returns, and effectiveness of stock market performance. The research investigates an extensive extent of Pakistan stock market Returns data from June 1994 to December 2018 along with the two economic segments including the Military phase (1999-2008) and Democratic phase (1994-1998) (2009-2018) to determine the Pakistan Stock market efficiency. To this end, autocorrelation and variance ratio tests were performed on the returns (weekly based) KSE 100 index during overall period as well as for both the Military Phase and the Democratic phase using adaptive pattern of market competence. The weak efficiency tests show trends of a stock performance, and consequently developing of bounded-adaptive market effectiveness. These tests recognized the presence of asymmetric dynamic behavior of returns obviousness in calculation of risk and return associations during two political states. These confirmations offer provision to investors bounded adaptive rationality, behavior, vigorous behavior of stock return and as a result establishing effectiveness of bounded adaptive market.

Keywords

  • Stock Returns
  • KSE 100 Index
  • Pakistan Stock Market
  • Autocorrelation
  • Variance ratio
  • Prospect theory
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International Journal of Organizational Leadership
Volume 9, Issue 1
January 2020
Page 20-38
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  • PDF 649.37 K
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  • Article View: 983
  • PDF Download: 842

APA

Zafar, Z. and Siddiqui, D. A. (2020). Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes. International Journal of Organizational Leadership, 9(1), 20-38. doi: 10.33844/ijol.2020.60488

MLA

Zafar, Z. , and Siddiqui, D. A. . "Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes", International Journal of Organizational Leadership, 9, 1, 2020, 20-38. doi: 10.33844/ijol.2020.60488

HARVARD

Zafar, Z., Siddiqui, D. A. (2020). 'Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes', International Journal of Organizational Leadership, 9(1), pp. 20-38. doi: 10.33844/ijol.2020.60488

CHICAGO

Z. Zafar and D. A. Siddiqui, "Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes," International Journal of Organizational Leadership, 9 1 (2020): 20-38, doi: 10.33844/ijol.2020.60488

VANCOUVER

Zafar, Z., Siddiqui, D. A. Behavioral Finance Perspectives on Pakistan Stock Market Efficiency: Assessing the Prospect Theory Empirically with an Adaptive Pattern of Efficiency across Military and Democratic Regimes. International Journal of Organizational Leadership, 2020; 9(1): 20-38. doi: 10.33844/ijol.2020.60488

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