A Test of the Weak–form of the Efficient Markets Hypothesis for the Saudi Stock Market

K.A. Al–Abdulqader, G. Hannah and D.M. Power
Additional contact information
K.A. Al–Abdulqader: K.A. Al–Abdulqader is Lecturer at the Department of Business Management, College of Sharia'h, Mohammed Iben Saud University, Riyadh, Saudi Arabia.
G. Hannah: G. Hannah is Lecturer at the School of Accounting and Finance, University of Dundee, 1 Perth Road, Dundee, DD1 4HN, Scotland. E–mail: g.m.hannah@dundee.ac.uk
D.M. Power: D.M. Power is Professor at the School of Accounting and Finance, University of Dundee, 1 Perth Road, Dundee, DD1 4HN, Scotland.

Journal of Emerging Market Finance, 2007, vol. 6, issue 2, 167-190

Abstract: This article examines the weak–form of the efficient market hypothesis (EMH) for the Saudi Stock Market. Specifically, it considers whether patterns are present in share returns such that investors can out–perform the market by trading on the basis of historic information. Two different trading strategies are tested on weekly data for 45 companies spanning the period 1990 to 2000. The results suggest that while there is some evidence of predictability in share returns, support for EMH is stronger than in previous studies. This improved efficiency of the Saudi Stock Market may be attributed to technological and regulatory developments introduced by the Saudi government.

Keywords: JEL Classification: G14; Weak–form; stock market efficiency; Saudi Arabia (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/097265270700600202 (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:sae:emffin:v:6:y:2007:i:2:p:167-190

DOI: 10.1177/097265270700600202

Access Statistics for this article

More articles in Journal of Emerging Market Finance from Institute for Financial Management and Research
Bibliographic data for series maintained by SAGE Publications ().