Weak Form Efficient Market Hypothesis Study: Evidence from Gulf Stock Markets

14 Pages Posted: 2 Jun 2016

See all articles by Umar Awan

Umar Awan

Majan University College

Muhammad Subayyal

Majan University College

Date Written: June 1, 2016

Abstract

Ever Since Fama (1965) presented his Efficient Market hypothesis, a lot of research has been done to test its authenticity; developed as well as emerging economies are used to validate the theory. The results are conflicting and the change in the current market circumstances persuaded the researcher to investigate the Gulf Stock Markets. Data of six Stock Exchanges in Gulf for the period of five years is taken. Daily closing stock indices of Oman, UAE, Kuwait, Saudi Arabia, Bahrain and Qatar are taken from 1st January 2011 to 31 December 2015, Auto correlation and runs test were used to test the Weak Form Market Efficiency. The results of the Parametric Tests (Both Auto Correlation and Runs test) provide evidence that the Stock prices in all the Gulf Markets are not following the random walk model and the significant auto correlation co-efficient at different lags has rejected the null hypothesis of Weak Form Efficiency.

Keywords: Market Efficiency, Gulf Markets, Auto Correlation, Random Walk model

Suggested Citation

Awan, Umar and Subayyal, Muhammad, Weak Form Efficient Market Hypothesis Study: Evidence from Gulf Stock Markets (June 1, 2016). Available at SSRN: https://ssrn.com/abstract=2787816 or http://dx.doi.org/10.2139/ssrn.2787816

Umar Awan (Contact Author)

Majan University College ( email )

P.O. Box 710
Muscat, Ruwi 112
Oman

Muhammad Subayyal

Majan University College ( email )

P.O. Box 710
Muscat, Ruwi 112
Oman

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