Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/2221
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dc.contributor.authorAssaf, Ataen_US
dc.contributor.authorCharif, Husnien_US
dc.date.accessioned2020-12-23T09:08:50Z-
dc.date.available2020-12-23T09:08:50Z-
dc.date.issued2017-
dc.identifier.urihttps://scholarhub.balamand.edu.lb/handle/uob/2221-
dc.description.abstractA major issue in financial economics is the behavior of stock market returns over long horizons. This paper provides an empirical investigation of the random walk hypothesis in the MENA equity markets. We use the variance ratio tests developed by Wright (2000), Kim and Wang and Chow Denning (1993) to test for the weak form market efficiency. Then, we use the unit root tests proposed by Saikkonen and L├╝tkepohl (2002) and Lanne et al. (2002), which allow for a level shift in the data generating process. Our results confirm the stationarity of the MENA equity markets returns in the presence of structural breaks, with the breaks happening mostly during the 2008 and 2009 periods. Further, the findings from our sub-samples indicate that the results from the last sub-periods support the belief that these markets may have been approaching a state of being fairly weak-form efficient, which reflects the future prospects of the MENA countries.en_US
dc.format.extent17 p.en_US
dc.language.isoengen_US
dc.subjectRandom Walk Hypothesisen_US
dc.subjectMENA Equity Marketsen_US
dc.subjectWeak-form Market Efficiencyen_US
dc.titleMarket efficiency in the MENA equity markets: evidence from newly developed tests and regime changeen_US
dc.typeJournal Articleen_US
dc.contributor.affiliationDepartment of Business Administrationen_US
dc.contributor.affiliationDepartment of Business Administrationen_US
dc.description.volume6en_US
dc.description.startpage15en_US
dc.description.endpage32en_US
dc.date.catalogued2017-11-14-
dc.description.statusPublisheden_US
dc.identifier.OlibID174959-
dc.identifier.openURLhttp://www.lifescienceglobal.com/home/cart?view=product&id=2294en_US
dc.relation.ispartoftextJournal of reviews on global economicsen_US
dc.provenance.recordsourceOliben_US
crisitem.author.parentorgFaculty of Business and Management-
Appears in Collections:Department of Business Administration
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