Testing Weak-Form Efficiency of Saudi Stock Exchange Market

Abstract

Stock market inefficiency has important implications for both investors and authorities. In an inefficient market investors should doubt the strategy "hold-the-market" and adopt the strategy "beat-the-market" to pickup the winners. In the mean while the authorities on their part should consider restructuring the institutional infrustructure of the stock market by enacting an effective capital market law and enhancing financial media that rectify the asymmetry of information among the market participants. In this paper two statistical tests have been employed to assess the efficiency performance of Saudi Stock Exchange Market.

Our findings indicate that the inefficiency hypothesis cannot be rejected.

Keywords: Efficiency, asymmetry, information