Do general indexes mask sectoral efficiencies? A multiple variance ratio assessment of Middle Eastern equity markets
Document Type
Article
Source of Publication
International Journal of Managerial Finance
Publication Date
4-11-2008
Abstract
Purpose - The purpose of the paper is to attempt to shed light on whether the use of general indexes may mask sectoral efficiencies by investigating the random walk (RW) and weak-form efficiency (WFE) hypotheses in the equity markets of Jordan, Qatar, Saudi Arabia, and the United Arab Emirates. Design/methodology/approach - The paper applies the multiple variance ratio test and the runs test to each equity market's weekly general and sectoral indexes. Findings - The paper provides evidence of inconsistencies in three of the five analyzed equity markets when testing the RW hypothesis and in four of the five analyzed markets when testing the WFE hypothesis. Originality/value - The findings in this paper provide empirical evidence supporting the use of sectoral indexes in lieu of general indexes in equity market analyses. These results have important financial and policy implications and would be of interest to investors, financial managers, and policy makers. © Emerald Group Publishing Limited.
DOI Link
ISSN
Publisher
Emerald
Volume
4
Issue
2
First Page
136
Last Page
151
Disciplines
Business
Keywords
Equity capital, Middle East, Process efficiency
Scopus ID
Recommended Citation
Benjelloun, Hicham and Squalli, Jay, "Do general indexes mask sectoral efficiencies? A multiple variance ratio assessment of Middle Eastern equity markets" (2008). All Works. 1303.
https://zuscholars.zu.ac.ae/works/1303
Indexed in Scopus
yes
Open Access
no