Download This PaperAre Arab Stock Exchanges Efficient at the Weak-Form Level? Evidence from Twelve Arab Stock Markets
EuroJournals, 2011
14 Pages Posted: 2 Jun 2020
Date Written: June 1, 2011
Abstract
This paper examines the random walk hypothesis (RWH) by testing the weak-form of efficiency of twelve Arab stock markets. These markets to include: Saudi Arabia, Amman, Kuwait, Dubai, Abu Dhabi, Egypt, Morocco, Tunisia, Qatar, Oman, Bahrain and Palestine. The study utilized parametric and non-parametric tests to investigate the randomness and the behavior of these markets. The parametric tests employ the serial correlation test and the Augmented Dickey-Fuller (unit root) test. The non-parametric tests utilized the runs test and the Phillips-Perron test. The empirical results indicate that eleven stock markets don't behave randomly. In general, we have evidence that Saudi Arabia Stock exchange is the only stock market that behaves randomly under the serial auto-correlation test and the run test. On the other hand, all twelve Arab stock exchanges don't behave randomly under the both the Augmented Dickey-Fuller (ADF) test and the Phillips-Perron (PP) unit root tests.
Keywords: Arab Stock Exchanges, Efficient Market Hypothesis, Random Walk Theory, Serial Auto-correlation, Run Test, Unit Root Test
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