Are GCC financial markets weak-form efficient? An analysis using multiple variance ratio test
Source of Publication
Middle East Business and Economic Review
This paper examined the EMH for seven financial markets located in all the Gulf Cooperative Council (GCC) countries; Bahrain Securities Market (BSE), Qatar's Doha Financial Market (DFM), Kuwait Securities Market (KSE), Oman's Muscat Securities Market (MSM), Saudi Arabia's Tadawul All-Shares Index (TASI), and the two UAE markets, Dubai Securities Market (DSM) and Abu Dhabi Securities Exchange (ADX). The paper utilized both the runs and multiple variance ratio (MVR) tests on weekly and daily index returns between June 2003 and June 2008. The runs test results on weekly returns show that the EMH is rejected for five out of the seven markets. The more powerful MVR test rejected the EMH for only two markets, Dubai Securities Market (DSM) and Abu Dhabi Securities Exchange (ADX).
El-Temtamy, Osama and Choudhry, Mukesh K., "Are GCC financial markets weak-form efficient? An analysis using multiple variance ratio test" (2009). Scopus Indexed Articles. 2230.