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Working Paper Series - Testing the Evolving Efficiency of 11 Arab Stock Markets



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Testing the Evolving Efficiency of 11 Arab Stock Markets


Volume : 0

No : 0

ISSN : WPS0907

Publisher : Arab Planning Institute - Kuwait

Author (s) : Walid Abdmoulah 

Published Date : 1/1/2009


Contents :
A Test of Evolvingweak-form Efficiency using GARCH-M (1,1) approach along with state-spacetime-varying parameters is implemented for 11 Arab stock markets for periodsending in March 2009. All markets show high sensitivity to the past shocks andare found to be weak-form inefficient, as the efficiency does not improvetowards the first quarter of 2009 and negatively reacts to contemporaneouscrises. This contrasts with developed markets and reveals the ineffectivenessof the reforms undertaken during the last decade and calls for seriousreflection to boost the markets, improve their liquidity and counteract theshortcomings of the large individual trading. 

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