کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1003558 1481800 2015 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are the regional Gulf stock markets weak-form efficient as single stock markets and as a regional stock market?
ترجمه فارسی عنوان
آیا بازارهای سهام خلیج فارس ضعیف هستند به عنوان بازارهای سهام واحد و به عنوان یک بازار سهام منطقه ای؟
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی


• Parametric, nonparametric, and unit root tests, show that GCC markets are not weak-form efficient.
• Current price of GCC stock markets are predictable from past prices.
• Past prices of one GCC market can predict current price of another GCC market.

The purpose of this article is to examine the efficiency of the Gulf Cooperation Council (GCC) stock markets of Saudi Arabia, the United Arab Emirates, Kuwait, Oman, Qatar, and Bahrain. We attempt to answer whether GCC stock markets are weak-form efficient individually or as a group by applying a battery of parametric, nonparametric, unit root, and Johansen cointegration tests to daily index prices denominated in local currencies covering the period December 2003 to January 2013. The findings of our study show that GCC stock markets are not individually weak-form efficient. That is to say, current prices of each GCC stock markets can be predicted from past price changes in that market. The study also finds that collectively, GCC stock markets are not weak-form efficient, as the movements of past prices of one GCC market can be used to predict the current price movement of another GCC stock market. This inefficiency could be due to the weak degree of foreign participation and the high concentration in the banking and financial sectors. Finally, the study suggests a number of policy implications for academics, policy makers and investors, and directions for future research.

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ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Research in International Business and Finance - Volume 33, January 2015, Pages 221–246
نویسندگان
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