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A Test of the Weak–form of the Efficient Markets Hypothesis for the Saudi Stock Market

Author

Listed:
  • K.A. Al–Abdulqader

    (K.A. Al–Abdulqader is Lecturer at the Department of Business Management, College of Sharia'h, Mohammed Iben Saud University, Riyadh, Saudi Arabia.)

  • G. Hannah

    (G. Hannah is Lecturer at the School of Accounting and Finance, University of Dundee, 1 Perth Road, Dundee, DD1 4HN, Scotland. E–mail: g.m.hannah@dundee.ac.uk)

  • D.M. Power

    (D.M. Power is Professor at the School of Accounting and Finance, University of Dundee, 1 Perth Road, Dundee, DD1 4HN, Scotland.)

Abstract

This article examines the weak–form of the efficient market hypothesis (EMH) for the Saudi Stock Market. Specifically, it considers whether patterns are present in share returns such that investors can out–perform the market by trading on the basis of historic information. Two different trading strategies are tested on weekly data for 45 companies spanning the period 1990 to 2000. The results suggest that while there is some evidence of predictability in share returns, support for EMH is stronger than in previous studies. This improved efficiency of the Saudi Stock Market may be attributed to technological and regulatory developments introduced by the Saudi government.

Suggested Citation

  • K.A. Al–Abdulqader & G. Hannah & D.M. Power, 2007. "A Test of the Weak–form of the Efficient Markets Hypothesis for the Saudi Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 6(2), pages 167-190, May.
    • Handle: RePEc:sae:emffin:v:6:y:2007:i:2:p:167-190
    DOI: 10.1177/097265270700600202
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    References listed on IDEAS

    as
    1. Butler, Kirt C. & Malaikah, S. J., 1992. "Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 197-210, February.
    2. Parisi, Franco & Vasquez, Alejandra, 2000. "Simple technical trading rules of stock returns: evidence from 1987 to 1998 in Chile," Emerging Markets Review, Elsevier, vol. 1(2), pages 152-164, September.
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    More about this item

    Keywords

    JEL Classification: G14; Weak–form; stock market efficiency; Saudi Arabia;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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