Long Memory and Stock Market Efficiency: Case of Saudi Arabia

Lamouchi, Rim Ammar

doi:10.32479/ijefi.9568

Cited by 10 publications

(6 citation statements)

References 33 publications

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“…Furthermore, we contribute to the value relevance methodology by conducting the empirical analysis using the before and after IFRS adoption method along with the comparative year (IFRS and Saudi GAAP) method to measure the impact of IFRS on the relative value relevance of accounting information. Our results suggest that market participants in the Saudi stock market, which is considered as an emerging and inefficient market (Lamouchi, 2020), are rational when it comes to the use of accounting numbers. Thus, this study contributes to the literature by examining the recent adoption of IFRS, which is considered the biggest event in financial reporting history (Hung and Subramanyam, 2007), in the largest stock exchange in the Middle East region (Rehman, 2018).…”

Section: Discussionmentioning

confidence: 78%

The impact of IFRS adoption on the value relevance of accounting information in Saudi Arabia

Alomair

Farley

Yang

2021

Accounting & Finance

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We examined the joint and relative value relevance of book value of equity (BVE) and earnings before (2015–2016), after (2017–2018) and during the comparative year (2016) of mandatory adoption of International Financial Reporting Standards (IFRS) in Saudi Arabia. Results show that the accounting information is jointly value relevant (R2), with no significant change between accounting information prepared under Saudi GAAP and IFRS. However, we found a positive change in the relative value relevance of the BVE after IFRS implementation, mainly related to the introduction of fair value measurement. Differences in value relevance were found across variances in company characteristics.

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Section: Discussionmentioning

confidence: 78%

The impact of IFRS adoption on the value relevance of accounting information in Saudi Arabia

Alomair

Farley

Yang

2021

Accounting & Finance

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“…The terminal set comprises the terminals of the GP tree and relies on the input data that will be used during GP training. We use 28 technical indicators under physical time series and 28 indicators under the DC framework as the terminal nodes of the proposed multiobjective genetic programming algorithm; these indicators can be found in [3] and [13]. In addition, we also use an Ephemeral Random Constant (ERC) which, when called, returns a random number from U [−1,1] , that is, the uniform distribution from −1 to 1.…”

Section: A Multi-objective Genetic Programming Model 1) Terminal Setmentioning

confidence: 99%

“…The MOO approach we used relies on the Non-dominated Sorting Genetic Algo-979-8-3503-1458-8/23/$31.00 ©2023 IEEE rithm II (NSGA-II) [8] and simultaneously optimizes each objective without being dominated by any other solution. In particular, we calculate 28 different DC indicators proposed by [3] and 28 common technical indicators presented in [13]. Together with these DC and physical-time indicators, the proposed trading strategy combines GP and MOO with DC.…”

Section: Introductionmentioning

confidence: 99%

Multi-Objective Optimisation and Genetic Programming for Trading by Combining Directional Changes and Technical Indicators

Long,

Kampouridis,

Kanellopoulos

2023

2023 IEEE Congress on Evolutionary Computation (CEC)

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Directional changes (DC) have been shown to form an effective approach in algorithmic trading by converting fixed time series into event-based series and focusing on key events. Previous work has focused on forecasting the inflection point in the market and proposing new indicators under the DC framework, with just a handful of papers concerned with training and using DC indicators through machine learning.Earlier research has shown that genetic programming (GP) combining DC and physical time indicators could achieve positive returns with low risk. However, the fitness function used in that work is simply a risk-adjusted return. In this paper, we investigate whether a multi-objective optimisation approach could improve the performance of GP-based strategies in the market. We evaluate the cumulative return, risk, and rate of return of the proposed approach under 110 datasets from 10 different markets. Furthermore, we compare the proposed strategy against GP-based single objective optimisation (SOO) and buy-and-hold strategies. Our results show that the proposed approach significantly improves the cumulative return compared to SOO, from 14.29% to 62.04%, while also outperforming the buy-and-hold strategy.

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“…CMA is in charge of regulating capital markets, including the Saudi Exchange 12 , known as Tadawul. On 19 March 2007, the Saudi Stock Exchange (Tadawul) was established as the official stock exchange in Saudi Arabia (Lamouchi 2020). Moreover, the Ministry of Commerce and Investment is responsible for company law, regulating trade, expanding the private sector, and all relevant laws and rules.…”

Section: Corporate Reporting In the Saudi Capital Market: Closely Lookedmentioning

confidence: 99%

Empirically Investigating the Disclosure of Nonfinancial Information: A Content Study on Corporations Listed in the Saudi Capital Market

Alshiban

Al-Adeem

2022

JRFM

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This study empirically assesses the disclosure of nonfinancial information in corporate reporting. In examining the contents of annual and board reports for 50 listed corporations, a coding sheet was developed by combining the two coding sheets of Boshnak and the European Directive 2014/95/EU. All corporations in three sectors—energy, utilities, and materials, which collectively represents 85.51% of the Saudi market capitalization—encompass the sample. Results reveal that employees, community, and products and services information have a moderate disclosure level. In contrast, environmental, customers, and fighting corruption have a low level. The findings also show that nonfinancial disclosure of the selected sectors on average range between 28.85% for the corporations in the material sector to 39.22% for the corporations in utilities sector. The corporations in the energy sector scored, on average, 37.65%. The mean for the entire sample of the ratios of disclosed nonfinancial items is 30.35%. However, the average disclosure level is without substantial improvement since 2012 and 2013, as previously reported The Capital Market Authority (CMA) is recommended to mandate nonfinancial information disclosure. It is a step toward realization aspects of Saudi Vision 2030 concerning with, for instance, protecting environment and other related matters.

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Long Memory and Stock Market Efficiency: Case of Saudi Arabia

Cited by 10 publications

References 33 publications

The impact of IFRS adoption on the value relevance of accounting information in Saudi Arabia

The impact of IFRS adoption on the value relevance of accounting information in Saudi Arabia

Multi-Objective Optimisation and Genetic Programming for Trading by Combining Directional Changes and Technical Indicators

Empirically Investigating the Disclosure of Nonfinancial Information: A Content Study on Corporations Listed in the Saudi Capital Market

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