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Testing the weak form of efficiency of the stock markets in Gulf Cooperation Council countries
Published in Inderscience Enterprises Ltd.
2018
Volume: 11
   
Issue: 3
Pages: 376 - 392
Abstract
This study tests the weak form of efficiency in GCCC markets namely The United Arab Emirates (UAE), Saudi Arabia, Oman, Kuwait and Bahrain except for Qatar. The data source used in this study is secondary, comprising main indices from these markets with a sample collected from 1/1/2013 to 30/12/2017 on a daily basis. The tests employed are descriptive statistic to check the basic features of the data. Unit root test was used to check the stationarity in the series; the run test along with the variance ratio test were used to check the randomness and efficiency of share price movement. The results suggest that none of the five major stock markets (Dubai Financial Market (DFM), Saudi Stock Exchange, Muscat Securities Market, Bahrain Stock Exchange (BSE), and Kuwait Stock Market) being studied followed a random walk; the null hypothesis has been rejected under all the cases. © 2018 Inderscience Enterprises Ltd.
About the journal
JournalJournal for Global Business Advancement
PublisherInderscience Enterprises Ltd.
ISSN1746966X
Open AccessNo
Concepts (5)
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    Gccc markets
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    Run test
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    Unit root test
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    Variance ratio tests
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    Weak form market efficiency