Random walks in Middle Eastern stock markets

Graham Smith

Applied Financial Economics, 2007, vol. 17, issue 7, 587-596

Abstract: This paper classifies formal stock markets in the Middle East into two categories and discuses the principal characteristics of the five markets covered in this study, those in Israel, Jordan, Kuwait, Lebanon and Oman. The hypothesis that a stock market price index follows a random walk is investigated using the multiple variance ratio test. The hypothesis is rejected in two of the markets, those for Kuwaiti domestic companies and Oman. For the Israeli, Jordanian and Lebanese markets, composite stock price indices follow a random walk and so these markets are weak-from efficient. The paper discusses these result in the light of stock market characteristics.

Date: 2007
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DOI: 10.1080/09603100600911200

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