Weak Form Market Efficiency During the 2008 Financial Crisis: Evidence from the Muscat Securities Market

Sami Al Kharusi and Robert O. Weagley

The International Journal of Business and Finance Research, 2014, vol. 8, issue 4, 27-42

Abstract: This paper examines the weak-form market efficiency of the Muscat Securities Market in Oman before, during, and after the 2008 global financial crisis using daily observations from the Muscat Securities Market index. The data were divided into three different periods: pre-crisis from January 1, 2007 to June 8, 2008, crisis from June 9, 2008 to January 22, 2009 and post-crisis from January 23, 2009 to January 17, 2011. The parametric tests of serial correlation using the Ljung and Box (1978) Q-Statistics and the variance ratio test of Lo and Mackinlay (1988) were used to test weak-form market efficiency. Findings of both methodologies revealed that the Muscat Securities Market was inefficient at the weak form during all three time periods: pre-crisis, crisis and post-crisis for most lags. Moreover, using adjusted returns provided more efficient lags than using the raw data. The results from this period of volatility are consistent with previous research testing weak-form market efficiency.

Keywords: Muscat Securities Market; Financial Crisis; Serial Correlation; Variance Ratio Test; Weak-Form Market Efficiency (search for similar items in EconPapers)
JEL-codes: G01 (search for similar items in EconPapers)
Date: 2014
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