Title: Stock market efficiency: the Pakistan Stock Exchange merger

Authors: Asad Ali; Saqib Sharif

Addresses: Department of Finance, Institute of Business Administration, Karachi, Main Campus, University Road, Karachi – 75270, Pakistan ' Department of Finance, Institute of Business Administration, Karachi, Main Campus, University Road, Karachi – 75270, Pakistan

Abstract: This study examines the valuation, liquidity, volatility, and efficiency before and after the integration of Islamabad Stock Exchange (ISE) and Lahore Stock Exchange (LSE) with Karachi Stock Exchange (KSE) to form the Pakistan Stock Exchange (PSX). The firm level daily data is analysed to determine the effects of regulatory change. Based on regression analyses, results indicate mixed evidence for different market measures following the integration of domestic bourses. However, the post-integration period in Pakistan is fraught with political turmoil and weak economic indicators. Thus, any improvement that is hypothesised following the merger is offset by poor economic and political factors.

Keywords: stock exchange merger; valuation; liquidity; volatility; market efficiency; financial regulation; demutualisation; Pakistan Stock Exchange; PSX.

DOI: 10.1504/AAJFA.2022.125060

Afro-Asian Journal of Finance and Accounting, 2022 Vol.12 No.4, pp.455 - 478

Received: 20 Sep 2018
Accepted: 02 May 2019
Published online: 25 Aug 2022 *

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