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Market Efficiency in the MENA Equity Markets: Evidence from Newly Developed Tests and Regime Change

Author

Listed:
  • Husni Charif

    (Faculty of Business and Management, University of Balamand, Lebanon)

  • Ata Assaf

Abstract

A major issue in financial economics is the behavior of stock market returns over long horizons. This paper provides an empirical investigation of the random walk hypothesis in the MENA equity markets. We use the variance ratio tests developed by Wright (2000), Kim and Wang and Chow Denning (1993) to test for the weak form market efficiency. Then, we use the unit root tests proposed by Saikkonen and Lütkepohl (2002) and Lanne et al. (2002), which allow for a level shift in the data generating process. Our results confirm the stationarity of the MENA equity markets returns in the presence of structural breaks, with the breaks happening mostly during the 2008 and 2009 periods. Further, the findings from our sub-samples indicate that the results from the last sub-periods support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of the MENA countries.

Suggested Citation

  • Husni Charif & Ata Assaf, 2017. "Market Efficiency in the MENA Equity Markets: Evidence from Newly Developed Tests and Regime Change," Journal of Reviews on Global Economics, Lifescience Global, vol. 6, pages 15-32.
    • Handle: RePEc:lif:jrgelg:v:6:y:2017:p:15-32
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    File URL: http://www.lifescienceglobal.com/independent-journals/journal-of-reviews-on-global-economics/volume-6/85-abstract/jrge/2586-abstract-market-efficiency-in-the-mena-equity-markets-evidence-from-newly-developed-tests-and-regime-change
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    Cited by:

    1. Siva Kiran & Prabhakar Rao.R, 2019. "Analysis of Stock Market Efficiency in Emerging Markets: Evidence from BRICS," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(72), pages 60-77, June.

    More about this item

    Keywords

    Random Walk Hypothesis; MENA Equity Markets; Emerging Markets; Weak-form Market Efficiency;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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