Testing Random Walk Behavior in the Damascus Securities Exchange

Abbas, Ghada

doi:10.6007/ijarafms/v4-i4/1368

Cited by 7 publications

(4 citation statements)

References 15 publications

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“…The presence of Momentum effect in DSE market suggests that this market is inefficient of weak form of efficiency, which confirms the results of previous studies in this market such as Al-Ahmad (2012) and Abbas (2014).…”

Section: Discussionsupporting

confidence: 88%

The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

Mahmoud

Wardeh

2018

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The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whereas contrarian strategy is more appropriate for loser portfolios. We also adopted Market Model in order to investigate the possible risk-based explanations of Momentum profits, but we found that market risk is unable to explain the Momentum profitability in DSE market.

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Section: Discussionsupporting

confidence: 88%

The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

Mahmoud

Wardeh

2018

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“…They commented that ex-dividend price increased instead of decreasing in Dhaka Stock Exchange (DSE). The findings of Abbas (2014) shows that there is no leakage of information prior to announcement of dividend. As a result, significant abnormal returns before the dividend announcement date is also absent.…”

Section: Empirical Reviewmentioning

confidence: 89%

Response of Dividend Announcement on the Price of Mutual Fund: A Comprehensive Study on Mutual Fund Listed in Dhaka Stock Exchange (DSE)

Golder¹,

Akter²,

Sheikh³

2019

int.jour.sci.res.mana.

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How dividend policy shakes the price of share of an enterprise` is one of the most significant research issues in the ground of modern investment and finance. This study examines the influence of dividend announcement on the price of the mutual fund those are registered in Dhaka Stock Exchange (DSE). The empirical part of this study uses “event study methodology” to know whether dividend announcement delivers any price sensitive information which creates a movement of the price of mutual funds. Although much studies are made on the topics of dividend policy, it is vague that whether dividend policy effects the stock price. The researcher who supports dividend irrelevance theory, argues that firm’s value should depend on earning power of the company, not on in which way the total earnings are divided into dividend and retained earnings and at what amount dividend are given to the shareholder of the company. This research surveys price of mutual funds those are registered in Dhaka Stock Exchange (DSE) surrounding 44 days of the dividend announcement date. In this study, we examine 13 samples & used event study technique that shows dividend announcement doesn’t convey any price sensitive information immediately after announcement of dividend but price of the mutual fund goes to change dramatically before 7 days of record date which proves that announcement of dividend affects the price of mutual fund registered in Dhaka Stock Exchange (DSE). Finally, T-test also postulates that price of stock responses to dividend announcement is not statistically significant immediately from dividend announcement date to 7 days after the announcement date. However, an opposite result, the T test identifies that price of stock responses to the announcement of dividend is statistically significant from the 7 days before record date to record date.

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“…The study therefore concluded that the ASE stock market rejected the random walk hypothesis and was inefficient at the weak form level. Abbas (2014) examined whether daily stock returns on Damascus Securities Exchange follow a random walk for the period of 2009 to 2014. The study applied two parametric tests namely serialcorrelation test and variance ratio test, and two non -parametric tests, i.e.…”

Section: Literature Reviewmentioning

confidence: 99%

An Empirical Investigation of the Random Walk Hypothesis in the Nigerian Stock Market

Kuhe

Akor

2021

Nig Ann pure App Sci

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The Random Walk Hypothesis (RWH) states that stock prices move randomly in the stock market without following any regular or particular pattern and as such historical information contained in the past prices of stocks cannot be used to predict current or future stock prices. Hence, stock prices are unpredictable and that investors cannot usurp any available information in the market to manipulate the market and make abnormal profits. This study empirically examines the random walk hypothesis in the Nigerian stock market using the daily quotations of the Nigerian stock exchange from 2nd January, 1998 to 31st December, 2019. The study employs Augmented Dickey-Fuller unit root test, the random walk model, Ljung-Box Q-statistic test for serial dependence, runs test of randomness, and the robust variance ratio test as methods of analyses. The result of the study rejected the null hypotheses of a unit root and random walk in the stock returns. The null hypothesis of no serial correlation in the residuals of stock returns was also rejected indicating the presence of serial correlation/autocorrelation in the residual series. The result of the runs test rejected the null hypothesis of randomness in the Nigerian stock returns. The results of the variance ratio test under homoskedasticity and heteroskedasticity assumptions both strongly rejected the null hypothesis of a random walk for both joint tests and test of individual periods. Based on the results of the four tests applied in this study, it is concluded that the Nigerian daily stock returns under the period of investigation do not follow a random walk and hence the null hypothesis of a random walk is rejected. The results of the study further revealed that the Nigerian stock market is weak-form inefficient indicating that prices in the Nigerian stock market are predictable, dependable, consistently mispriced, inflated, liable to arbitraging and left unprotected to speculations and market manipulations. The study provided some policy recommendations

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Testing Random Walk Behavior in the Damascus Securities Exchange

Abstract: Abstract

Cited by 7 publications

References 15 publications

The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

Response of Dividend Announcement on the Price of Mutual Fund: A Comprehensive Study on Mutual Fund Listed in Dhaka Stock Exchange (DSE)

An Empirical Investigation of the Random Walk Hypothesis in the Nigerian Stock Market

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