The arrival of public information and asset price behavior in emerging markets: evidence from stock market in Pakistan

This study investigates the role of public information on stock market activity and asset return using daily data for the period January 2006 - July 2011. The role of information dissemination related to Semi-strong form of efficiency is tested. This study attempts to explore the relationship between publicly available information taken from KSE website and aggregate measures of market activity that is market returns and trading volume. The empirical result indicates that news is positively related to trading volume and the returns at market level. However, at firm level the results are mixed. The relationship is robust in case of trading volume but not with market returns. However, the observed relationship between news and market activity is not particularly strong. This shows the difficulty in linking volume and volatility to the observed measure of information. At the same time it implies the importance of factors other than public information in driving the stock market activity.