Title: Testing the weak form of efficiency of the stock markets in Gulf Cooperation Council countries
Authors: Mohammed Naim Chaker; Ariba Sabah
Addresses: College of Business Administration, Ajman University, P.O. Box 346, Ajman, UAE ' College of Business Administration, Ajman University, P.O. Box 346, Ajman, UAE
Abstract: This study tests the weak form of efficiency in GCCC markets namely The United Arab Emirates (UAE), Saudi Arabia, Oman, Kuwait and Bahrain except for Qatar. The data source used in this study is secondary, comprising main indices from these markets with a sample collected from 1/1/2013 to 30/12/2017 on a daily basis. The tests employed are descriptive statistic to check the basic features of the data. Unit root test was used to check the stationarity in the series; the run test along with the variance ratio test were used to check the randomness and efficiency of share price movement. The results suggest that none of the five major stock markets (Dubai Financial Market (DFM), Saudi Stock Exchange, Muscat Securities Market, Bahrain Stock Exchange (BSE), and Kuwait Stock Market) being studied followed a random walk; the null hypothesis has been rejected under all the cases.
Keywords: weak form market efficiency; unit root test; GCCC markets; run test; variance ratio tests.
Journal for Global Business Advancement, 2018 Vol.11 No.3, pp.376 - 392
Received: 15 Sep 2018
Accepted: 17 Sep 2018
Published online: 22 Nov 2018 *