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Niemczak, Kinga and Smith, Graham (2013) 'Middle Eastern stock markets: absolute, evolving and relative efficiency.' Applied Financial Economics, 23 (3). pp. 181-198.

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Abstract

The martingale hypothesis is tested for 11 Middle Eastern stock markets using three finite sample variance ratio tests. For comparative purposes, the same tests are applied to data for the United States. The tests are carried out with both observed returns and returns corrected for thin trading so the effect of the thin trading correction is evident. A rolling window is used to track changes in efficiency through time and rank markets by relative efficiency. Overall, most markets experience successive periods of efficiency and inefficiency which is consistent with the adaptive markets hypothesis. Predictability varies widely: the least predictable stock markets are those located in Turkey, Egypt and Israel; the most predictable are in Jordan, Lebanon and Saudi Arabia. When returns are corrected for thin trading, there is much less variation in relative efficiency.

Item Type: Journal Article
Keywords: Martingale, Middle Eastern stock markets, changing efficiency, relative efficiency, variance ratio
SOAS Departments & Centres: Legacy Departments > Faculty of Law and Social Sciences > Department of Economics
Subjects: H Social Sciences > HG Finance
ISSN: 09603107
DOI (Digital Object Identifier): https://doi.org/10.1080/09603107.2012.714068
Date Deposited: 15 Jul 2013 09:00
URI: https://eprints.soas.ac.uk/id/eprint/16720

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