scholarly journals An Application of the Weak Form of the Efficiency Hypothesis on the Saudi Arabia Stock Market after Tadawul

2013 ◽  
Vol 5 (1) ◽  
Author(s):  
Mohammed Hokroh
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Weak Form ◽  
Efficiency Hypothesis

Do the Stock Market Indices Follow a Random Walk?

2021 ◽  
pp. 389-410
Author(s):  
Cristina Vasco ◽  
Pedro Pardal ◽  
Rui Teixeira Dias
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
South Korea ◽  
Market Efficiency ◽  
Stock Markets ◽  
Weak Form ◽  
Efficient Market ◽  
Efficiency Hypothesis

This chapter aims to test the hypothesis of an efficient market, in its weak form, in the stock markets of Brazil, China, South Korea, USA, Spain, Italy, in the period from December 2, 2020 to May 12, 2020. The results show that the market efficiency hypothesis is rejected in all markets. In corroboration the DFA exponents show long memories, which put in question the market efficiency, in its weak form, suggesting that the stock markets analyzed show some predictability. In conclusion, investors should avoid investing in stock markets, at least while this pandemic lasts, and invest in less risky markets in order to mitigate risk and improve the efficiency of their portfolios.

scholarly journals Weak Form of Efficiency Hypotheses: Empirical Modeling With Box –Pierce, ADF and ARCH Tests

2020 ◽  
Vol 11 (5) ◽  
pp. 137
Author(s):  
Saliha Theiri ◽  
Abdessatar Ati
Keyword(s):  
Stock Market ◽  
Unit Root ◽  
Weak Form ◽  
Developed Countries ◽  
Empirical Modeling ◽  
Conditional Heteroskedasticity ◽  
Information Efficiency ◽  
Efficiency Hypothesis

The aim of this paper is to analyze the information efficiency after period of revolution. In particularly, it is a question of testing the weak form of efficiency on the Tunisian stock market. Based in many studies in literature of efficiency in developed countries, the select sample is compound of 52 companies over the period 2014-2018. By applying the different test of Unit Root (ADF), Box –Pierce and ARCH for detect the presence or not of Conditional heteroskedasticity. These tests show that the efficiency hypothesis in its weak form is not verified for majority of companies making up our sample, but it is only confirmed in 10 companies.

Investigation of Timing Anomalies in the Russian Stock Market in the Post-Crisis Period

2019 ◽  
Vol 12 (3) ◽  
pp. 37-47
Author(s):  
I. Ya. Lukasevich
Keyword(s):  
Stock Market ◽  
Information Technologies ◽  
Real Data ◽  
Weak Form ◽  
Fair Value ◽  
Presidential Decree ◽  
Day Of The Week ◽  
Russian Stock Market ◽  
Economic Growth Rates ◽  
Global And Local

The implementation of the May presidential decree aimed at Russia’s joining the top five global economies and achieving economic growth rates above the world’s average while maintaining macroeconomic stability requires a highly developed and efficient stock market ensuring the accumulation of capital and its deployment in the most promising and productive sectors of the economy.The subject of the research is timing anomalies in the Russian stock market in 2012–2018. The relevance of the research is due to the information inefficiency of the Russian stock market and its imperfections leading to significant price deviations from the «fair» value of assets and depriving investors of the opportunity to form various strategies for deriving additional revenues not related to fundamental economic factors and objective processes occurring in the global and local economies and the economy of an individual business entity. Based on the trend analysis of the Broad Market USD Index (RUBMI), the paper demonstrates a methodology for simulating the analysis of price anomalies on large arrays of real data using statistical data processing methods and modern information technologies. The paper concludes that though the Russian stock market lacks even the weak form of efficiency, such well-known timing anomalies as the “day-of-the-week” effect and the “month” effect have not been observed in the recent years. Therefore, investors could not use these anomalies to derive regular revenues above the market average.

scholarly journals Ownership And Firm Performance: The Experience Of Saudi Arabias Emerging Economy

2011 ◽  
Vol 8 (8) ◽  
Author(s):  
Abuzar M. A. Eljelly
Keyword(s):  
Saudi Arabia ◽  
Firm Performance ◽  
Stock Market ◽  
Market Performance ◽  
Return On Assets ◽  
Private Companies ◽  
Return On Equity ◽  
Net Profit ◽  
The Government ◽  
The Relationship

This study examines the relationship between firm ownership and corporate performance in Saudi Arabia, using a sample of Listed Private Companies (LPCs) and Listed Government Related Companies (LGRCs). The study compares the operating and market performance of the LPCs and LGRCs during the period 2000-2003 and found that, in general, LGRCs outperform or match the performance of LPCs. More specifically, the study finds that LGRCs tend to mostly outperform LPCs in terms of profitability, as measured by Return on equity (ROE) and Net Profit Margin (NPM), operating efficiently, as measured in terms of Return on assets (ROA), and match them in their stock market risk adjusted performance. The study concludes that these results may have implications for the issue of privatization programs which the government has recently started.

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals Efficient Market Hypotheses of Nepalese Stock Market

Pravaha ◽  
2020 ◽  
Vol 26 (1) ◽  
pp. 187-198
Author(s):  
Shanker Dhodary
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Insider Trading ◽  
Research Work ◽  
Weak Form ◽  
Efficient Market ◽  
Parametric Test ◽  
Auto Correlation ◽  
Closing Price ◽  
Weak Form Efficiency

The purpose of this paper is to examine the random walk hypothesis (RWH) by testing the weak-form efficiency in the Nepalese capital market. Descriptive, correlation and causal comparative research design has been used for analyzing the variables and different phenomenon. This research has been prepared only with the help of secondary data. Closing price of company has been collected and analyzed for the period 2015/16-2019/20. Thus researcher tried to analyze the market efficiency with the help of five years data (daily closing price).There are altogether around 233 companies listed in NEPSE. So to make this research feasible and simple researcher has selected only 10 companies from the NEPSE by using purposive sampling technique. In course of selecting company researcher has tried to incorporate only financial sectors as commercial banks, finance companies, insurance, and microfinance companies but development bank has not been taken as sample due to same nature of commercial bank. Researcher examined the weak form efficiency of the Nepal stock exchange (NEPSE) using auto correlation test (parametric test) and run test (non-parametric test) for the period of 2015/16-2019/20. Mainly this research work tested the efficient market hypothesis of Nepalese stock market with the help of daily closing price of 10 Sample Company of different sectors. The market is inefficient in the weak form implies that the NEPSE does not follow a random walk. This means that the NEPSE provides an opportunity for out- performance by skillful managers and investment specialists. Auto correlation exists in price of stock evident that there is high level of dependency of price of stock with the previous ones. It will be easy for speculator and trader to exploit the market and gain handsome profit from the market. All investor are not assumed to be rational in inefficient market, most of the people say investor are investing on the basis of market rumor. Market may be inefficient due the asymmetric of information and insider trading.

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