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The Behavior of Stock Prices in the GCC Markets

Author

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  • Riad Dahel

    (The Arab Planning Institute)

  • Belkacem Laabas

Abstract

The paper examines the behavior of stock prices in four GCC markets: Bahrain, Kuwait, Oman and Saudi Arabia. The data consists of weekly stock price indexes from September 1994 to April 1998. Three tests of the weak form of the efficient market hypothesis(EMH) are applied. The first two, unit root and variance ratio, test the hypothesis that returns follow a random walk; and the third regression tests for autocorrelation of returns. In the case of the Kuwaiti market, the results strongly support weak form of efficiency. As to the other three markets, only one of the tests (regression of returns) rejects the weak form of the EMH when the total period is considered. However, when the sample is split into two subperiods, the efficiency hypothesis is not rejected for the second subperiod in two of the markets and only by a small margin in the case of the Saudi Arabian market.

Suggested Citation

  • Riad Dahel & Belkacem Laabas, 1999. "The Behavior of Stock Prices in the GCC Markets," Working Papers 9917, Economic Research Forum, revised Jun 1999.
    • Handle: RePEc:erg:wpaper:9917
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    Cited by:

    1. Osamah AlKhazali, 2011. "Does infrequent trading make a difference on stock market efficiency?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 28(2), pages 96-110, June.
    2. Lim Kai Jie, Shawn & Chadha, Pavneet & Lau, Joshua & Potdar, Nishad, 2012. "Is the Mongolian Equity Market Efficient? Empirical Evidence from Tests of Weak-Form Efficiency," MPRA Paper 41834, University Library of Munich, Germany.
    3. Riad Dahel, "undated". "Volatility in Arab Stock Market," API-Working Paper Series 9905, Arab Planning Institute - Kuwait, Information Center.
    4. Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2015. "“Every cloud has a silver lining”; to what extent does the Arab Spring accelerate the integration among Arab monarchies?," MPRA Paper 70942, University Library of Munich, Germany.

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