An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation

Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach

“…This finding is consistent with that of Al Janabi et al (2010) and Bley (2011) who finds that the GCC stock markets are inefficient. Secondly, there is significant evidence of the day-of-the week effect.…”

“…In particular, these studies find strong evidence in favor of the Weekend or the Wednesday effect. Regarding the time-varying volatility in the MENA stock markets, some studies rely on standard GARCH models (Abdmoulah, 2010;Abraham et al, 2002;Al Janabi et al, 2010), while other studies (Hammoudeh and Li, 2008) incorporate dummy variables into these models to account for sudden changes in variance. In this paper, we consider the FIAPARCH model which has the advantage of capturing, in addition to the time-varying volatility, the asymmetric and leverage effects.…”

“…First, the presence of such components indicates that the efficient market hypothesis is rejected in favor of predictable returns. Although, the efficient market hypothesis has been rejected by Al Janabi et al (2010) and Bley (2011) for the case of the GCC stock markets, no information about the long-range dependence, the seasonality or the time trend has been advanced. Second, a finding of seasonal patterns in stock market returns is illustrative of calendar anomalies and indicative of the day-of-the week effect.…”

Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods

“…While a few studies have found no relationship between the world oil markets and GCC stock markets (see Ref. [1] among others), many studies have found a stable long-term relationship and substantial return and volatility linkages between oil prices and GCC stock indices (see Refs. [2,19,24,29]; among others).…”

Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries

“…While a limited number of studies showed a positive relationship between oil price shocks and stock returns (e.g. Narayan andNarayan 2010, Ono 2011), other works provided evidence that oil price diversely affects stock returns (Maghyereh 2004, Park and Ratti 2008, Apergis and Miller 2009, Al Janabi et al 2010, Wang et al 2013. Recently, Jammazi and Nguyen (2015) evaluated the relationship between oil price and stock returns in a sample of oil-dependent countries and suggested that stock markets react differently to oil shocks depending on the country coverage.…”