Testing the Evolving Efficiency of 11 Arab Stock Markets .

 

 

 

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Testing the Evolving Efficiency of 11 Arab Stock Markets

 

 

العنوان: Testing the Evolving Efficiency of 11 Arab Stock Markets

WPS0907 :ISSN

الناشر : Arab Planning Institute - Kuwait

المؤلف (المؤلفين): Walid Abdmoulah 

التاريخ: 2009

المحتويات :

A Test of Evolving weak-form Efficiency using GARCH-M (1,1) approach along with state-space time-varying parameters is implemented for 11 Arab stock markets for periods ending in March 2009. All markets show high sensitivity to the past shocks and are found to be weak-form inefficient, as the efficiency does not improve towards the first quarter of 2009 and negatively reacts to contemporaneous crises. This contrasts with developed markets and reveals the ineffectiveness of the reforms undertaken during the last decade and calls for serious reflection to boost the markets, improve their liquidity and counteract the shortcomings of the large individual trading.