A non-parametric assessment of weak-form efficiency in the UAE financial markets

Jay Squalli

Applied Financial Economics, 2006, vol. 16, issue 18, 1365-1373

Abstract: This paper tests for market efficiency in the represented sectors of the Dubai Financial Market (DFM) and the Abu Dhabi Securities Market (ADSM). Using daily sectoral indexes between 2000 and 2005, variance ratio tests reject the random walk hypothesis in all sectors of the UAE financial markets except in the banking sector of the DFM. Returns in the two financial markets are negatively serially correlated, thus suggesting the presence of a Bull market. Runs tests find insurance in the ADSM to be the only weak-form efficient sector.

Date: 2006
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DOI: 10.1080/09603100500447594

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