Testing for efficiency in the Saudi stock market: does corporate governance change matter?

Mamdouh Abdulaziz Sa Al-Faryan and Everton Dockery

EconStor Open Access Articles and Book Chapters, 2020, issue Latest Articles, 1-30

Abstract: We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.

Keywords: Saudi stock market; Corporate governance; Market efficiency; Random walk; Variance ratio; Hurst exponent (search for similar items in EconPapers)
JEL-codes: G14 G15 G34 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Testing for efficiency in the Saudi stock market: does corporate governance change matter? (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:espost:225534

DOI: 10.1007/s11156-020-00939-0

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