Does infrequent trading make a difference on stock market efficiency?

Osamah AlKhazali

Studies in Economics and Finance, 2011, vol. 28, issue 2, 96-110

Abstract: Purpose - After adjusting for thin trading, this study seeks to examine the market efficiency for six emerging stock markets in the Gulf Cooperation Council (GCC) countries: Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. Design/methodology/approach - This study uses the LOMAC single variance ratio (VR) test and the Wright's rank and sign VR tests to examine informational efficiency after correcting the data for thin trading that typically characterizes these indexes. Findings - As the observed indexes in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. The results of this study show that after removing the effect of infrequent trading the random walk hypothesis was not rejected in all GCC equity markets. Originality/value - To the best of the author's knowledge this is the first study that applies the Wright's rank and sign VR tests after adjusting for thin trading in GCC equity market.

Keywords: Emerging markets; Trade; Frequency; Persian Gulf states; Arabian Peninsula (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:v:28:y:2011:i:2:p:96-110

DOI: 10.1108/10867371111137102

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