Article: Testing the weak form of efficient market hypothesis: case of five major sectors of Tunisian stock market Journal: American Journal of Finance and Accounting (AJFA) 2023 Vol.7 No.3/4 pp.274 - 296 Abstract: This paper examines the efficient market hypothesis (EMH) in five selected Tunisian sectoral stock markets [namely: finance (FIN), Bank, automobile (AUTO), industry (IND), and material (MATB)] using data from of 2010M02 to 2019M11. In the first step, we employ the BDS independence test to examine the presence of nonlinear behaviour. For the nonlinear prices, we use the adequate nonlinear unit root test procedures. For the linear process, the break effects are corrected prior to the use of some conventional URT. Once the break effect had been corrected from AUTO and IND stock prices, the weak form of the EMH was not validated. The linear URT procedures fail to reject the weak EMH for material stock prices, while the nonlinear URT procedures support this hypothesis for only the BANK sector. The major implication is that, in Tunisia, fund managers and investors can (or cannot) enjoy excess returns on their investment in the finance, auto, and industrial (bank and material) sectoral stock market. Then, the investor sentiment is found to have a positive significant effect on two out of the three inefficient stock markets. The macro-economic indicators have no effect on the considered markets. Inderscience Publishers - linking academia, business and industry through research

Title: Testing the weak form of efficient market hypothesis: case of five major sectors of Tunisian stock market

Authors: Malika Neifar; Siwar Ellouz

Addresses: Quantitative Methods at New Economic Department, Institut des Hautes Etudes Commerciales (IHEC), Sfax University, Route Sidi Mansour Km 10, B.P. 43, 3061, Sfax, Tunisia ' Higher Business School of Sfax, University of Sfax, Aerodrome Road km 04, B.P. 1081, Sfax 3018, Tunisia

Abstract: This paper examines the efficient market hypothesis (EMH) in five selected Tunisian sectoral stock markets [namely: finance (FIN), Bank, automobile (AUTO), industry (IND), and material (MATB)] using data from of 2010M02 to 2019M11. In the first step, we employ the BDS independence test to examine the presence of nonlinear behaviour. For the nonlinear prices, we use the adequate nonlinear unit root test procedures. For the linear process, the break effects are corrected prior to the use of some conventional URT. Once the break effect had been corrected from AUTO and IND stock prices, the weak form of the EMH was not validated. The linear URT procedures fail to reject the weak EMH for material stock prices, while the nonlinear URT procedures support this hypothesis for only the BANK sector. The major implication is that, in Tunisia, fund managers and investors can (or cannot) enjoy excess returns on their investment in the finance, auto, and industrial (bank and material) sectoral stock market. Then, the investor sentiment is found to have a positive significant effect on two out of the three inefficient stock markets. The macro-economic indicators have no effect on the considered markets.

Keywords: Tunisian stock markets; sectors; BDS test; nonlinear unit root tests; EMH; investor sentiment.

DOI: 10.1504/AJFA.2023.136691

American Journal of Finance and Accounting, 2023 Vol.7 No.3/4, pp.274 - 296

Received: 09 Jan 2023
Accepted: 04 Dec 2023
Published online: 16 Feb 2024 *

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Title: Testing the weak form of efficient market hypothesis: case of five major sectors of Tunisian stock market

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