A non-parametric assessment of weak-form efficiency in the UAE financial markets

Author First name, Last name, Institution

Jay Squalli, Zayed University

Document Type

Article

Source of Publication

Applied Financial Economics

Publication Date

12-1-2006

Abstract

This paper tests for market efficiency in the represented sectors of the Dubai Financial Market (DFM) and the Abu Dhabi Securities Market (ADSM). Using daily sectoral indexes between 2000 and 2005, variance ratio tests reject the random walk hypothesis in all sectors of the UAE financial markets except in the banking sector of the DFM. Returns in the two financial markets are negatively serially correlated, thus suggesting the presence of a Bull market. Runs tests find insurance in the ADSM to be the only weak-form efficient sector.

DOI Link

10.1080/09603100500447594

ISSN

0960-3107

Publisher

Informa UK Limited

Volume

16

Issue

18

First Page

1365

Last Page

1373

Disciplines

Business

Keywords

banking, efficiency measurement, financial market, insurance system, Asia, Dubai [United Arab Emirates], Eurasia, Middle East, United Arab Emirates

Scopus ID

34548574275

Recommended Citation

Squalli, Jay, "A non-parametric assessment of weak-form efficiency in the UAE financial markets" (2006). All Works. 190.
https://zuscholars.zu.ac.ae/works/190

Indexed in Scopus

yes

Open Access

no