The weak form efficiency of the gcc

the weak form efficiency of the gcc Cfa level 1 - weak, semi-strong and strong emh learn the aspects of the three forms of the efficient market hypothesis includes assumptions and testing methods of each form.

Their results indicated that the hypothesis of weak-form efficiency was rejected in all gcc stock markets more recently, onour (2009) tested the weak-form efficiency on the sse using unit root tests and variance ratio the findings of. Weak form efficiency is one of the three different degrees of efficient market hypothesis (emh) it claims that past price movements and volume data do not affect stock prices as weak form efficiency is theoretical in nature, advocates assert that fundamental analysis can be used to identify undervalued and overvalued stocks. Weak-form efficiency in the stock markets of the gulf cooperation council is examined using daily, weekly, and monthly index data for the 10-year period 2000-2009.

An empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests rengasamy elango, mohammed ibrahim hussein this paper tests for market efficiency across the seven stock markets in the gcc (gulf co-operation council) countries. With reference to gcc countries, a number of studies have tested the efficiency of the gcc markets in the weak-form the most relevant studies were provided by butler and malaikah [16] , al-loughani [17] , abraham et al [18] , squalli [19] , al-khazali et al [20] , asiri [21] , al-janabi et al [22] , abdmoulah [27] , bley [23] , rejichi and aloui [24] and sensoy [25].

Keywords: market efficiency, random walk, kolmogorov - smirnov test, runs test for randomness jel classification: g14, g15 suggested citation: suggested citation elango, dr rengasamy and hussein, mohammed i, an empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests. Their results indicated that the hypothesis of weak-form efficiency was rejected in all gcc stock markets more recently, onour (2009) tested the weak-form efficiency on the sse using unit root tests and variance ratio the findings of the tests reject the hypothesis of random walk behaviour at all levels of stock prices.

The gcc countries, of late, have been striving to strengthen their capital markets by introducing various innovative changes in relation to listing, regulatory, trading and settlement norms in order to improve transparency and informational efficiency. Request pdf on researchgate | an empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests | this paper tests for market efficiency across the seven. Free essay: an empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests rengasamy elango, mohammed ibrahim.

An empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests retrieved january 19, 2017 from social science research network fama, e f (1970. Dahel, r, & laabas, b (1999) the behaviour of stock prices in the gcc markets journal of development & economic policies, 1, 89-105 elango, r, & hussein, m i (2007, november 5) an empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests. Bley examines the weak-form efficiency in the gcc over the period 2000–2009, and find evidence of nonlinear dependence for the stock returns series, thus rejecting the random walk hypothesis although there are some studies on market efficiency in the gcc region, very few of them have tested the time varying efficiency.

The weak form efficiency of the gcc

In addition, gcc stock markets are less mature than other markets, despite recent liberalization measures, so they continue to be less liberal and inefficient in the weak form of the efficient market hypothesis (emh) see arouri et al (2011), al-ajmi and kim (2012), bley (2011. The study also finds that collectively, gcc stock markets are not weak-form efficient, as the movements of past prices of one gcc market can be used to predict the current price movement of another gcc stock market. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the bahrain bourse for the period 2011 to 2015 weak form of emh is tested using the kolmogorov-smirnov goodness of fit test, run test and autocorrelation test.

  • An empirical analysis on the weak-form efficiency of the gcc markets applying selected statistical tests international review of business research papers, 4(1), 1.

the weak form efficiency of the gcc Cfa level 1 - weak, semi-strong and strong emh learn the aspects of the three forms of the efficient market hypothesis includes assumptions and testing methods of each form. the weak form efficiency of the gcc Cfa level 1 - weak, semi-strong and strong emh learn the aspects of the three forms of the efficient market hypothesis includes assumptions and testing methods of each form.
The weak form efficiency of the gcc
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