Testing the weak form of efficiency of the stock markets in Gulf Cooperation Council countries

Chaker, Mohammed Naim; Sabah, Ariba

doi:10.1504/jgba.2018.096334

Cited by 5 publications

(6 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The values of the variance ratios are, in all cases, lower than the unit, which implies that the returns are autocorrelated over time and, there is a reversion to the mean, in all indexes. The results obtained allow the rejection of the random walk hypothesis and the informational efficiency hypothesis of the financial markets, being consistent with those obtained in other studies, namely the authors Robinson (2016), Fusthane and M (2017), Filipovski and Tevdovski (2018), Fernando and Gunasekara (2018), Chaker and Sabah (2018), who show signs of (in) efficiency, in their weak form, in the financial markets.…”

Section: Source: Own Elaborationsupporting

confidence: 91%

“…Sümer (2016), on the other hand, shows that Turkey's financial markets, shares, foreign exchange, and the price of gold is efficient, in their weak form. Robinson (2016), Fusthane and M (2017), Filipovski and Tevdovski (2018), Fernando and Gunasekara (2018), Chaker and Sabah (2018), shows signals of (in) efficiency, in their weak form in the financial markets. Robinson (2016) analysed the Jamaican stock market (JSE), and make clear that the random walk hypothesis was rejected.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Fernando and Gunasekara (2018) examined the CSE market (All Share Price Index), and show that this market shows signs of inefficiency. Chaker and Sabah (2018) tested the efficiency, in their weak form, in the markets of the United Arad Emirates (UAE), Saudi Arabia, Oman, Kuwait and Bahrain, showing that none of the analysed markets follow the random walk hypothesis. Atac and Tas (2019), Olubiyi and Olopade (2019), Mphoeng (2019) examined the market efficiency, in its weak form.…”

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence in the Context of the Covid-19 Pandemic

Dias¹,

Heliodoro²,

Alexandre³

et al. 2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

View full text Add to dashboard Cite

The COVID-19 outbreak caused several concerns all over the world. On January 30, 2020, the World Health Organization (WHO) declared it a global health emergency. This outbreak leads to a drastic change in people's lifestyles, causing lots of job losses all over the world and threaten the livelihood of millions of people since the firms closed to avoid virus propagation. In general, all economic activities were interrupted, and the stock markets had significant breaks. Due to these events, this essay pretends to analyse the efficiency, in its weak form, in the stock market indexes of France (CAC40), China (SSEC), South Korea (KOSPI), Germany (DAX 30), Italy (FTSE MID), Portugal (PSI 20), and Spain (IBEX 35), in the period of December 31, 2019, to August 10, 2020. To accomplish this research, different approaches were taken to analyse whether: (i) the countries affected by the global pandemic (COVID-19) caused (in) efficiency in their stock markets? The results suggest that the hypothesis of random walk in all the markets under study was rejected. Variance ratios' values are, in all cases, lower than the unity, which implies that the returns are auto correlated over time, and there is a reversion to the mean, in all indexes. The exponents Detrended Fluctuation Analysis (DFA), indicate significant long memories, i.e. they validate the results of the non-parametric test of Wright (2000), which comprises two types of tests, the Position test (Rankings) for homoscedastic series, and the Signal test for heteroscedastic series. These findings show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation has implications for investors since some returns can be expectable, creating opportunities for arbitrage and abnormal earnings. These conclusions also open space for market regulators to take measures to ensure better information in these regional markets.

show abstract

Section: Source: Own Elaborationsupporting

confidence: 91%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence in the Context of the Covid-19 Pandemic

Dias¹,

Heliodoro²,

Alexandre³

et al. 2020

LIMEN - International Scientific-Business Conference - Leadership, Innovation, Management and Economics: Integrated Politics Of

View full text Add to dashboard Cite

show abstract

“…Hamid, Suleman, Ali Shah and Imdad Akash (2017), Awan and Subayyal (2018), Fernando and Gunasekara (2018), Chaker and Sabah (2018) tested market efficiency, in its weak form, in the stock markets. Hamid, Suleman, Ali Shah and Imdad Akash (2017) show that the financial markets of Pakistan, India, Sri Lanka, China, Korea, Hong Kong, Indonesia, Malaysia, Philippines, Singapore, Thailand, Taiwan, Japan and Australia, do not follow the random walk hypothesis.…”

Section: Literature Revisionmentioning

confidence: 99%

“…Fernando and Gunasekara (2018) show that the ASPI index (All Share Price Index) of the CSE market, shows signs of (in) efficiency, in its weak form, although the market efficiency is mostly dynamic. Chaker and Sabah (2018) tested efficiency in the GCCC, United Arab Emirates, Saudi Arabia, Oman, Kuwait and Bahrain markets, except in Qatar. The results suggest that none of the five stock markets follow the random walk hypothesis.…”

Section: Literature Revisionmentioning

confidence: 99%

The Impact of the Covid-19 on the Financial Markets: Evidence From G7

Heliodoro¹,

Dias²,

Alexandre³

et al. 2020

Fourth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and

View full text Add to dashboard Cite

This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid-19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the G7 financial markets? In the Pre-Covid period, we can verify the presence of long memories in the Canadian market (TSX), while the markets in France (CAC 40) and Italy (FTSE MID) show signs of balance, since the random walk hypothesis was not rejected. The German (DAX 30), USA (DJI), United Kingdom (FTSE 100) and Japan (NIKKEI 225) markets have anti-persistence (0 <α <0.5). In period II, the Covid-19-time scale is contained, and we verified the presence of significant long memories, except for the US stock index (0.49). These findings make it possible to show that the assumption of the market efficiency hypothesis may be called into question, because these markets are predictable, which validate the research question. The results of the pDCCA correlation coefficients, in the Pre-Covid period, show 14 pairs of median markets (0.333 → ≌ 0.666). We can also see 7 pairs of markets with strong correlation coefficients (0.666 → ≌ 1,000), showing that these markets have a tendency towards integration, this evidence may call into question the hypothesis of portfolio diversification. In period II (Covid-19) the λ_DCCA correlation coefficients have 7 strong market pairs (0.666 → ≌ 1,000), 5 pairs have weak pDCCA coefficient (0.000 → ≌ 0.333), 5 market pairs show anti-correlation (-1.000 → ≌ 0.000), and 4 market pairs show median coefficients (pDCCA) (0.333 → ≌ 0.666) (out of 21 possible). When compared to the previous subperiod, we found that the majority of the pDCCAs decreased, which shows that the markets have decreased their integration, making it possible to diversify portfolios in certain markets, especially in the Japanese market (NIKKEI 225). These conclusions open space for market regulators to take measures to ensure better informational information, in the stock markets, in the 7 most advanced economies in the world.

show abstract

An Enquiry into the Persistence of Turn-of-the-Month Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

Tadepalli

Jain

Metri

2021

Business Perspectives and Research

View full text Add to dashboard Cite

Asset pricing in capital markets is a strikingly vibrant area of academic research and is considered as an indicator to evaluate the efficiency of stock markets. Though the explanation for the seasonal behavior of capital markets was attempted by various market models, several anomalies were observed historically. Calendar anomalies that belong to the specific class of seasonal anomalies provided abnormal returns in the global stock markets at regular intervals within and across various calendar years. This article documents the study on one such anomaly—namely, the turn-of-the-month effect in the context of Indian stock indices. In this pursuit, exhaustive research has been carried out considering all the broad-market and sectoral indices of two major stock exchanges, namely, National Stock Exchange and the Bombay Stock Exchange. The study used the ARIMAX methodology with dummy exogenous variables (to represent the turn-of-the-month days) and presented comprehensive findings and learnings. Besides, this article attempts to analyze the changes in the strength and significance of the anomaly in progression with various stock market reforms in both the broad-market and sectoral indices to provide new insights into the efficiency of Indian stock market exchanges.

show abstract

Testing the weak form of efficiency of the stock markets in Gulf Cooperation Council countries

Cited by 5 publications

References 0 publications

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence in the Context of the Covid-19 Pandemic

Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence in the Context of the Covid-19 Pandemic

The Impact of the Covid-19 on the Financial Markets: Evidence From G7

An Enquiry into the Persistence of Turn-of-the-Month Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly

Contact Info

Product

Resources

About