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Random walks in Middle Eastern stock markets

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  • Graham Smith

Abstract

This paper classifies formal stock markets in the Middle East into two categories and discuses the principal characteristics of the five markets covered in this study, those in Israel, Jordan, Kuwait, Lebanon and Oman. The hypothesis that a stock market price index follows a random walk is investigated using the multiple variance ratio test. The hypothesis is rejected in two of the markets, those for Kuwaiti domestic companies and Oman. For the Israeli, Jordanian and Lebanese markets, composite stock price indices follow a random walk and so these markets are weak-from efficient. The paper discusses these result in the light of stock market characteristics.

Suggested Citation

  • Graham Smith, 2007. "Random walks in Middle Eastern stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 587-596.
  • Handle: RePEc:taf:apfiec:v:17:y:2007:i:7:p:587-596
    DOI: 10.1080/09603100600911200
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    Citations

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    Cited by:

    1. Hiremath, Gourishankar S & Bandi, Kamaiah, 2010. "Some Further Evidence on the Behaviour of Stock Returns in India," MPRA Paper 48518, University Library of Munich, Germany.
    2. 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.
    3. Hiremath, Gourishankar S & Bandi, Kamaiah, 2009. "On the random walk characteristics of stock returns in India," MPRA Paper 46499, University Library of Munich, Germany.
    4. David McMillan & Pako Thupayagale, 2011. "Measuring volatility persistence and long memory in the presence of structural breaks: Evidence from African stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 219-241, February.
    5. Kian-Ping Lim & Weiwei Luo & Jae H. Kim, 2013. "Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests," Applied Economics, Taylor & Francis Journals, vol. 45(8), pages 953-962, March.
    6. Collins G. Ntim & Kwaku K. Opong & Jo Danbolt & Frank Senyo Dewotor, 2011. "Testing the weak-form efficiency in African stock markets," Managerial Finance, Emerald Group Publishing, vol. 37(3), pages 195-218, February.

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