Are emerging MENA stock markets mean reverting? A Monte Carlo simulation

Simon Neaime

Finance Research Letters, 2015, vol. 13, issue C, 74-80

Abstract: We provide further empirical evidence on the mean reversion hypothesis for ten frontier stock markets in the Middle East and North Africa (MENA) using a battery of panel and time series econometric tests including Monte Carlo simulations. Standard unit root and panel unit root tests indicate that stock prices in the MENA region are not mean reverting which is consistent with the weak form efficient market hypothesis. However, Monte Carlo simulations depict mean reversion in the stock markets of Saudi Arabia, Jordan and Bahrain.

Keywords: MENA stock markets; Mean reversion; Panel and time series tests (search for similar items in EconPapers)
JEL-codes: C15 C22 G14 G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:13:y:2015:i:c:p:74-80

DOI: 10.1016/j.frl.2015.03.001

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