A Test of the Weak–form of the Efficient Markets Hypothesis for the Saudi Stock Market

Autor:	David Power, K.A. Al–Abdulqader, Gwen Hannah
Rok vydání:	2007
Předmět:	Economics and Econometrics 050208 finance Primary market Financial economics 05 social sciences Market microstructure Market depth Stock exchange Order (exchange) 0502 economics and business Market share analysis Stock market Business 050207 economics Market share Finance
Zdroj:	Journal of Emerging Market Finance. 6:167-190
ISSN:	0973-0710 0972-6527
DOI:	10.1177/097265270700600202
Popis:	This article examines the weak–form of the efficient market hypothesis (EMH) for the Saudi Stock Market. Specifically, it considers whether patterns are present in share returns such that investors can out–perform the market by trading on the basis of historic information. Two different trading strategies are tested on weekly data for 45 companies spanning the period 1990 to 2000. The results suggest that while there is some evidence of predictability in share returns, support for EMH is stronger than in previous studies. This improved efficiency of the Saudi Stock Market may be attributed to technological and regulatory developments introduced by the Saudi government.
Databáze:	OpenAIRE
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