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Testing the Evolving Efficiency of 11 Arab Stock Markets

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  • Walid Abdmoulah

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  • Walid Abdmoulah, "undated". "Testing the Evolving Efficiency of 11 Arab Stock Markets," API-Working Paper Series 0907, Arab Planning Institute - Kuwait, Information Center.
    • Handle: RePEc:api:apiwps:0907
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    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. Thomas Lagoarde Segot & Brian M Lucey, 2005. "Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis," The Institute for International Integration Studies Discussion Paper Series iiisdp92, IIIS.
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    5. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
    6. Mr. Mauro Mecagni & Maged Sawky Sourial, 1999. "The Egyptian Stock Market: Efficiency Tests and Volatility Effects," IMF Working Papers 1999/048, International Monetary Fund.
    7. Thierry Foucault & M. Demarchi, 1999. "Equity Trading Systems in Europe," Post-Print hal-00722595, HAL.
    8. repec:adr:anecst:y:2000:i:60:p:04 is not listed on IDEAS
    9. Mohamed A. El-Erian & Manmohan S. Kumar, 1995. "Emerging Equity Markets in Middle Eastern Countries," IMF Staff Papers, Palgrave Macmillan, vol. 42(2), pages 313-343, June.
    10. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
    11. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," The Review of Financial Studies, Society for Financial Studies, vol. 10(1), pages 103-150.
    12. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
    13. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    14. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    15. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
    16. Grant McQueen, 2004. "Whence GARCH? A Preference-Based Explanation for Conditional Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 915-949.
    17. Keith Jefferis & Graham Smith, 2005. "The Changing Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 73(1), pages 54-67, March.
    18. Vít Pošta, 2008. "Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 248-260, August.
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    Cited by:

    1. 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.
    2. Azubuike Samuel Agbam, 2015. "Tests of Random Walk and Efficient Market Hypothesis in Developing Economies: Evidence from Nigerian Capital Market," International Journal of Management Sciences, Research Academy of Social Sciences, vol. 5(1), pages 1-53.
    3. Francesco Guidi & Rakesh Gupta, 2011. "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance finance:201113, Griffith University, Department of Accounting, Finance and Economics.
    4. 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.

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