Efficiency in emerging markets-Evidence from the MENA region

This paper investigates informational efficiency in relation to its theoretical underpinnings in a set of seven emerging Middle-Eastern North African (MENA) stock markets. We first aggregate the results of random walk tests and technical trade analysis into a single efficiency index. We then analyze the impact of market development, corporate governance and economic liberalization on the latter using a multinomial ordered logistic regression. Our results highlight heterogeneous levels of efficiency in the MENA stock markets. The efficiency index seems to be affected by market depth, although corporate governance factors also have explanatory power. By contrast, the impact of overall economic liberalization does not appear significant.