Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?

Jamaani, Fouad; Roca, Eduardo

doi:10.1016/j.ribaf.2014.09.001

Cited by 44 publications

(36 citation statements)

References 58 publications

(83 reference statements)

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“…The results suggest that the Indian stock market was weak-form efficient during the period of recession. The efficiency of the Gulf Cooperation Council (GCC) (Saudi Arabia, UAE, Kuwait, Oman, and Bahrain) stock markets was examined by Jamaani and Roca (2015). The daily stock market from December 2003 to January 2013 shows that the random walk hypothesis cannot be rejected suggesting that past price cannot predict current price.…”

Section: Empirical Reviewmentioning

confidence: 99%

“…The use of volatility models, that is the generalized autoregressive conditional heteroskedasticity (GARCH) methods have been found useful not only to control for the influence of previous conditional variance or previous conditional mean (GARCH-M) but also for testing whether the shock to stock market returns is positive or negative and whether such positive (negative) shock more than neutralize other negative (positive) shock. Notwithstanding the weakness of the variance ratio tests, a significant number of authors have utilized it in studies of many countries and regions (see for example Urquhart and McGroarty, 2016;Guidi and Gupta, 2014;Jamaani and Roca, 2015).…”

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confidence: 99%

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On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

Olubiyi

Olopade

2019

CBN-JAS

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The study investigates the stock market efficiency of selected OPEC member countries within the context of random walk hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric (variance ratio: homoskedastic and heteroskedastic martingale), nonparametric (the Wright ranks and scores) tests and ARCHtype estimation are performed. Results of both parametric and nonparametric tests indicate that only Qatar's stock market is weak-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should be conscious of these shocks when making risk-return decision of their portfolios; second, the results provide useful information to regulators to enable them develop safeguard mechanisms to shield the market from possible asymmetric information emanating from the participants.

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Section: Empirical Reviewmentioning

confidence: 99%

mentioning

confidence: 99%

On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

Olubiyi

Olopade

2019

CBN-JAS

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“…In addition, GCC stock markets are less mature than other markets, despite recent liberalization measures, so they continue to be less liberal and inefficient in the weak form of the Efficient Market Hypothesis (EMH); see Arouri et al (2011), Al-Ajmi andKim (2012), Bley (2011). Jamaani and Roca (2015) attribute this inefficiency to the low level of foreign participation, the high concentration in the financial sector, high market volatility and information asymmetry. GCC markets differ from those of developed and other emerging countries in that they are largely segmented from the international markets and are hyper-sensitive to regional political events.…”

Section: Gcc Overviewmentioning

confidence: 99%

“…One of the main reasons for this is the information asymmetry between individuals and businesses (Jamaani and Roca, 2015). There are various studies concerning the reasons for information asymmetry presence in GCC.…”

Section: Theoretical Framework and Literature Reviewmentioning

confidence: 99%

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The impact of dividend announcements on share price and trading volume

Felimban

Floros

Nguyen

2018

JES

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Purpose The purpose of this paper is to investigate the stock market response to dividend announcements in high growth emerging markets of Gulf countries. Design/methodology/approach The sample includes 1,092 dividend announcements from 299 listed firms over the period 2010-2015. Findings In the environment where there is an absence of capital gain and income tax, the authors find some evidence for the stock price reaction that partly supports the signaling hypothesis. The findings show that the Gulf Cooperation Council (GCC) market is inefficient because of the leakage information before the announcement in bad news, and the delay of share price adjustment in good news. In addition, the authors report significant trading volume (TV) reaction in all the three announcements clusters, where dividends increase, decrease, and are constant, lending support to the hypothesis that the dividend change announcements have an impact on the TV response due to different investors’ preferences. Originality/value This is the first empirical paper on market reaction in share price and TV around dividend announcement using data for the majority of GCC countries.

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An Empirical Investigation of the Determinants of Market Efficiency in Borsa Istanbul

Varlı

Sahin

2020

Accounting, Finance, Sustainability, Governance &Amp; Fraud: Theory and Application

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Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?

Cited by 44 publications

References 58 publications

On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

On the Efficiency of Stock Markets: A Case of Selected OPEC Member Countries

The impact of dividend announcements on share price and trading volume

An Empirical Investigation of the Determinants of Market Efficiency in Borsa Istanbul

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