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Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets

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  • Barry Harrison
  • Winston Moore

Abstract

The concept of market efficiency has been investigated thoroughly in recent years, with most studies focussing on developed economies. Far fewer investigations have been carried out into emerging markets, and results have been mixed. Some emerging markets appear to be weak form efficient whereas others seem to be inefficient. Emerging markets are typically characterised by thin trading and low levels of liquidity as well as, in some cases, ill-informed investors with access to information that is sometimes less than reliable. This might partly explain why some emerging markets are information inefficient. In this paper we investigate stock market efficiency in a group of emerging markets in the Middle East and North Africa (MENA) region. In particular we test the results of Abdmoulah (2010) who finds that the MENA region markets investigated are inefficient and, despite growth in size and the implementation of reforms designed to improve the operation of markets in the region, they exhibit little evidence of evolving market efficiency. This raises the possibility that further reform is necessary. We test for evolving market efficiency using a methodology that extends the approach adopted by Abdmoulah (2010). However, our results are broadly similar.

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  • Barry Harrison & Winston Moore, 2012. "Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets," Economic Issues Journal Articles, Economic Issues, vol. 17(1), pages 77-93, March.
    • Handle: RePEc:eis:articl:112harrison
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    2. Emenike Kalu O., 2017. "Weak-form Efficiency After Global Financial Crisis: Emerging Stock Market Evidence," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 16(1), pages 90-113, April.
    3. Nguyen, Trang & Chaiechi, Taha & Eagle, Lynne & Low, David, 2020. "Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 308-324.
    4. Robinson, Justin & Glean, Adrian & Moore, Winston, 2018. "How does news impact on the stock prices of green firms in emerging markets?," Research in International Business and Finance, Elsevier, vol. 45(C), pages 446-453.
    5. Moumen, Néjia & Ben Othman, Hakim & Hussainey, Khaled, 2015. "The value relevance of risk disclosure in annual reports: Evidence from MENA emerging markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 177-204.
    6. Kanungo, Rama Prasad, 2021. "Uncertainty of M&As under asymmetric estimation," Journal of Business Research, Elsevier, vol. 122(C), pages 774-793.

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