COMPARATIVE PERFORMANCE ANALYSIS OF KMI 30 AND KSE 30 INDICES IN PAKISTAN STOCK EXCHANGE: AN EMPIRICAL ANALYSIS

Abstract

The purpose of the paper is to study the comparative performance of KMI30 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 of data. 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. 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.