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Testing Efficiency Performance of an Underdeveloped Stock Market

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  • Onour, Ibrahim

Abstract

Market inefficiency has influence on resource allocation, as price signals tend systematically understate or overstate the effects of information transmitted to the trading parties in the market. In this paper a number of statistical tests employed to assess the weak-form efficiency of Khartoum Stock Exchange (KSE) market. The finding of the paper indicates the inefficiency hypothesis cannot be rejected

Suggested Citation

  • Onour, Ibrahim, 2007. "Testing Efficiency Performance of an Underdeveloped Stock Market," MPRA Paper 15020, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15020
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    File URL: https://mpra.ub.uni-muenchen.de/15020/1/MPRA_paper_15020.pdf
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    References listed on IDEAS

    as
    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Bekaert, Geert & Harvey, Campbell R, 1995. "Time-Varying World Market Integration," Journal of Finance, American Finance Association, vol. 50(2), pages 403-444, June.
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    Cited by:

    1. Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.
    2. Mohammed AlHomaidy, 2020. "Lack of Reform Effect on Exchange Efficiency- Empirical Evidence from Saudi Market Index," Research in Applied Economics, Macrothink Institute, vol. 12(4), pages 46-65, December.
    3. H. Khoj & H. Akeel, 2020. "Testing Weak-Form Market Efficiency: The Case of Saudi Arabia," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(6), pages 644-653, June.
    4. Shah Saeed Hassan Chowdhury & M. Arifur Rahman & M. Shibley Sadique, 2017. "Stock return autocorrelation, day of the week and volatility," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 16(2), pages 218-238, May.

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    More about this item

    Keywords

    efficiency; unit root; volatility;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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