Are GCC Financial Markets Weak Form Efficient? An Analysis Using Multiple Variance Ratio Test

Author First name, Last name, Institution

Osama El-Temtamy, Zayed University
Mukesh K. Chaudhry, Zayed University

Document Type

Article

Source of Publication

Middle East Business and Economic Review

Publication Date

12-5-2009

Abstract

This paper examined the Efficient Market Hypothesis ( EMH) for seven financial markets located in 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). This paper utilizes both the runs and multiple variance ratio (MVR) tests on weekly and daily index returns between June 2003 and June 2008. The runs test on weekly data rejects EMH for five out of the seven markets. The more powerful MVR test rejects the EMH for only two markets, Dubai Securities Market (DSM) and Abu Dhabi Securities Exchange (ADX). Keywords: GCC, Multiple Variance Ratio, Weak Form Efficient

Volume

2

Disciplines

Business

Recommended Citation

El-Temtamy, Osama and Chaudhry, Mukesh K., "Are GCC Financial Markets Weak Form Efficient? An Analysis Using Multiple Variance Ratio Test" (2009). All Works. 547.
https://zuscholars.zu.ac.ae/works/547

Indexed in Scopus

no

Open Access

no