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

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Author Info
Jay Squalli

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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.

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 18 (December)
Pages: 1365-1373
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Handle: RePEc:taf:apfiec:v:16:y:2006:i:18:p:1365-1373

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July. [Downloadable!] (restricted)
  2. Ojah, Kalu & Karemera, David, 1999. "Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit," The Financial Review, Eastern Finance Association, vol. 34(2), pages 57-72, May.
  3. Smith, Graham & Jefferis, Keith & Ryoo, Hyun-Jung, 2002. "African Stock Markets: Multiple Variance Ratio Tests of Random Walks," Applied Financial Economics, Taylor and Francis Journals, vol. 12(7), pages 475-84, July. [Downloadable!] (restricted)
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This page was last updated on 2009-12-5.

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