Market Efficiency in the MENA Equity Markets: Evidence from Newly Developed Tests and Regime Change

Husni Charif () and Ata Assaf
Additional contact information
Husni Charif: Faculty of Business and Management, University of Balamand, Lebanon

Journal of Reviews on Global Economics, 2017, vol. 6, 15-32

Abstract: A major issue in financial economics is the behavior of stock market returns over long horizons. This paper provides an empirical investigation of the random walk hypothesis in the MENA equity markets. We use the variance ratio tests developed by Wright (2000), Kim and Wang and Chow Denning (1993) to test for the weak form market efficiency. Then, we use the unit root tests proposed by Saikkonen and Lütkepohl (2002) and Lanne et al. (2002), which allow for a level shift in the data generating process. Our results confirm the stationarity of the MENA equity markets returns in the presence of structural breaks, with the breaks happening mostly during the 2008 and 2009 periods. Further, the findings from our sub-samples indicate that the results from the last sub-periods support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of the MENA countries.

Keywords: Random Walk Hypothesis; MENA Equity Markets; Emerging Markets; Weak-form Market Efficiency (search for similar items in EconPapers)
JEL-codes: G01 G14 G15 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.lifescienceglobal.com/independent-journ ... ts-and-regime-change (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lif:jrgelg:v:6:y:2017:p:15-32

Access Statistics for this article

Journal of Reviews on Global Economics is currently edited by Michael McAleer and Chia-Lin Chang

More articles in Journal of Reviews on Global Economics from Lifescience Global
Bibliographic data for series maintained by Faisal Ameer Khan ( this e-mail address is bad, please contact ).