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Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests

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  • Amira Akl Ahmed

    (Lecturer in Economics, Benha University, Egypt. PhD in Economics, University of Leicester, England.)

Abstract

Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed in local and US dollar currencies) for five stock markets in the Middle East and North Africa during 1995-2009. Results indicated that the big and liquid stock markets of Israel and Turkey are ranked as the most efficient. The Egyptian and Moroccan stock markets converged towards efficiency by 2002, due to remarkable improvements in liquidity and information dissemination, whereas the Jordanian stock markets restored its efficiency at the end of the study period. Exchange rates did not matter in determining the dynamics of share returns for equity markets examined.

Suggested Citation

  • Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
    • Handle: RePEc:ere:journl:v:xxxiii:y:2014:i:1:p:91-126
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    Cited by:

    1. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    2. Amira Akl Ahmed & Rania Ihab Naguib, 2018. "DCCs among Sector Indexes and Dynamic Causality between Foreign Exchange and Equity Sector Volatility: Evidence from Egypt," Applied Economics and Finance, Redfame publishing, vol. 5(1), pages 14-28, January.
    3. Amira Akl Ahmed & Doaa Akl Ahmed, 2016. "Modelling Conditional Volatility and Downside Risk for Istanbul Stock Exchange," Working Papers 1028, Economic Research Forum, revised Jul 2016.

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    More about this item

    Keywords

    Random Walk Hypothesis; Stock Market Efficiency; Variance Ratio Tests; Wild Bootstrap; Middle East and North Africa;
    All these keywords.

    JEL classification:

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

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