Market efficiency in the emerging and frontier markets of the MENA countries

Abdelkader Derbali
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Abdelkader Derbali: Community College, Taibah University, Saudi Arabia2Higher Institute of Informatics and Management of Kairouan, Kairouan University, Tunisia

International Journal of Financial Engineering (IJFE), 2019, vol. 06, issue 03, 1-18

Abstract: Daily and weekly market index returns were analyzed to examine market efficiency in emerging and frontier markets in MENA region. Based on a set of tests, autocorrelation, runs, unit root and multiple variance report tests, over a period of 7 years, our results show mixed results for different indices. However, emerging and frontier market and yield series indicate the lack of market efficiency. We find that daily and weekly market index returns do not follow random markets. We can conclude that investors can obtain the flow of arbitrage profits due to the inefficiency of the market belonging to these countries.

Keywords: Market efficiency; run tests; unit root test; variance ratio test; MENA zone; frontier and emerging markets (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S2424786319500300

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