Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices

Kian-Ping Lim

Applied Economics Letters, 2009, vol. 16, issue 5, 519-522

Abstract: This study examines the existence of nonlinear serial dependence in five stock markets in the Middle East and Africa. The results from the application of a battery of nonlinearity tests reveal that after removing all short-term linear dependence, the stock returns still contain predictable nonlinearities that contradict the unpredictable criterion of weak-form efficient markets hypothesis.

Date: 2009
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DOI: 10.1080/13504850601032032

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