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Market efficiency in the emerging and frontier markets of the MENA countries

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  • Abdelkader Derbali

    (Community College, Taibah University, Saudi Arabia2Higher Institute of Informatics and Management of Kairouan, Kairouan University, Tunisia)

Abstract

Daily and weekly market index returns were analyzed to examine market efficiency in emerging and frontier markets in MENA region. Based on a set of tests, autocorrelation, runs, unit root and multiple variance report tests, over a period of 7 years, our results show mixed results for different indices. However, emerging and frontier market and yield series indicate the lack of market efficiency. We find that daily and weekly market index returns do not follow random markets. We can conclude that investors can obtain the flow of arbitrage profits due to the inefficiency of the market belonging to these countries.

Suggested Citation

  • Abdelkader Derbali, 2019. "Market efficiency in the emerging and frontier markets of the MENA countries," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-18, September.
    • Handle: RePEc:wsi:ijfexx:v:06:y:2019:i:03:n:s2424786319500300
    DOI: 10.1142/S2424786319500300
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    References listed on IDEAS

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