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Random walks in Middle Eastern stock markets

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  • Graham Smith

Abstract

This paper classifies formal stock markets in the Middle East into two categories and discuses the principal characteristics of the five markets covered in this study, those in Israel, Jordan, Kuwait, Lebanon and Oman. The hypothesis that a stock market price index follows a random walk is investigated using the multiple variance ratio test. The hypothesis is rejected in two of the markets, those for Kuwaiti domestic companies and Oman. For the Israeli, Jordanian and Lebanese markets, composite stock price indices follow a random walk and so these markets are weak-from efficient. The paper discusses these result in the light of stock market characteristics.

Suggested Citation

  • Graham Smith, 2007. "Random walks in Middle Eastern stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 587-596.
    • Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:587-596
    DOI: 10.1080/09603100600911200
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    Cited by:

    1. Mamdouh Abdulaziz Saleh Al-Faryan & Everton Dockery, 2021. "Testing for efficiency in the Saudi stock market: does corporate governance change matter?," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 61-90, July.
    2. Jasim Al-Ajmi & J. H. Kim, 2012. "Are Gulf stock markets efficient? Evidence from new multiple variance ratio tests," Applied Economics, Taylor & Francis Journals, vol. 44(14), pages 1737-1747, May.
    3. Yang, Jinyu & Xia, Guoen & Dong, Dayong, 2024. "Placebo in the random walk of stock price: Momentum effect of corporate site visits," Research in International Business and Finance, Elsevier, vol. 70(PB).
    4. Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.
    5. Kinga Niemczak & Graham Smith, 2013. "Middle Eastern stock markets: absolute, evolving and relative efficiency," Applied Financial Economics, Taylor & Francis Journals, vol. 23(3), pages 181-198, February.
    6. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
    7. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
    8. Hesham I. Almujamed & Suzanne G. M. Fifield & David M. Power, 2018. "An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(1), pages 1-28, April.
    9. José Carlos Vides & Antonio A. Golpe & Jesús Iglesias, 2018. "How did the Sovereign debt crisis affect the Euro financial integration? A fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 685-706, November.
    10. Aint Phone San, 2016. "Factors Affecting The Number Of Registered Automobile Insurance In Myanmar Based On Bayesian Modeling Using The Mcmc Procedure," International Journal of Humanities, Arts and Social Sciences, Dr. Mohammad Hamad Al-khresheh, vol. 2(2), pages 74-86.
    11. Jyoti Gupta & Sardana Sankalp, 2017. "The Impact of Global Financial Crisis on Market Efficiency: An Empirical Analysis of the Indian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(4), pages 225-252, April.
    12. 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.
    13. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
    14. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.

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