Since 1987 many stock markeIs of the world have experienced volatility. This bas been true of many emerging stock markeIs. Our study of daily stock lIllI1’ket data from Pakistan between June 1987 and May 1993 finds the results to be consistent with the impression of great volatility and unpredictability thought to be common in such emerging markets. We used the VAR technique to estimaIe a “presumed” fundamental on stock indices using lagged first differences of natural logs of daily exchange rates and stock indices. We used the Hamilton switching model and associated Walk test to see if such speculative trends were present. We were significantly unable to rule them out. We then tested for ARCH effects, whose presence we failed to Ieject. We then used ARCHgenerated residuals to apply the BDS test of general non-linear structure. We failed to reject the lack of such non-linear structure quite significantly. Thus, the Pakistani stock market during the period of study seems to have exhibited quite complex dynamics, along with apparendy strong trends that may indicate the presence of speculative bubbles. This bas many important implications for Pakistani as well as other emerging markets.