Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets
Inferences drawn from tests of market efficiency are rendered imprecise in the presence of infrequent trading. As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the three...
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| Veröffentlicht in: | The Financial review (Buffalo, N.Y.) N.Y.), 2002-08, Vol.37 (3), p.469-480 |
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| container_end_page | 480 |
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| container_issue | 3 |
| container_start_page | 469 |
| container_title | The Financial review (Buffalo, N.Y.) |
| container_volume | 37 |
| creator | Abraham, Abraham Seyyed, Fazal J. Alsakran, Sulaiman A. |
| description | Inferences drawn from tests of market efficiency are rendered imprecise in the presence of infrequent trading. As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the three emerging Gulf markets examined in this paper, correction for infrequent trading significantly alters the results of market efficiency and random walk tests. The Beveridge–Nelson (1981) decomposition of index returns is done to estimate the underlying index. |
| doi_str_mv | 10.1111/0732-8516.00008 |
| format | Article |
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As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the three emerging Gulf markets examined in this paper, correction for infrequent trading significantly alters the results of market efficiency and random walk tests. 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As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the three emerging Gulf markets examined in this paper, correction for infrequent trading significantly alters the results of market efficiency and random walk tests. The Beveridge–Nelson (1981) decomposition of index returns is done to estimate the underlying index.</abstract><cop>Boston, USA and Oxford, UK</cop><pub>Blackwell Publishers Inc</pub><doi>10.1111/0732-8516.00008</doi><tpages>12</tpages></addata></record> |
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| identifier | ISSN: 0732-8516 |
| ispartof | The Financial review (Buffalo, N.Y.), 2002-08, Vol.37 (3), p.469-480 |
| issn | 0732-8516 1540-6288 |
| language | eng |
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| source | Business Source Complete; Wiley Online Library All Journals |
| subjects | Efficiency Efficient markets Emerging markets Gulf equity markets infrequent trading market efficiency random walk Random walk theory Securities markets Securities trading Stock exchanges Studies |
| title | Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets |
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