Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets

By A. Abraham, F. J. Seyyed, Sulaiman Al-Sakran. 2002

243 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/baf0b768988e6bd082e503b97bf75df40de125ef

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Citations in the corpus

Are Asian stock markets efficient? Evidence from new multiple variance ratio tests ☆ (2008, background): “( 2002 ) examined the efficiency of stock markets in Bahrain, Kuwait and Saudi Arabia using All-Share indices from 7 October 1992 to 30 December 1998.”
Random walks and market efficiency in European equity markets (2004, background): “Grieb and Reyes 1999, Karemera et al. 1999), Africa (Smith et al. 2002, Appiah-Kusi and Menyah 2003) and the Middle East (Abraham et al. 2002) have been addressed in this manner.”
Efficient market hypothesis in European stock markets (2008, background): “…(Magnusson and Wydick 2002; Smith, Jefferis, and Ryoo 2002), Asia (Huang 1995; Groenewold and Ariff 1998; Kim and Shamsuddin 2008a), Middle East (Abraham, Seyyed, and Alsakran 2002; Al-Khazali, Ding, and Pyun 2007), Europe (Smith and Ryoo 2003; Worthington and Higgs 2004; Smith 2009), and…”
Weak Form Efficiency In Indian Stock Markets (2011, methodology): “…(lee et al 2001; find that volatility is highly persistent and is predictable, authors use GARCH and EGARCH models in this study), Hong Kong ( (Abraham et al. 2002; this study uses variance ratio test and the runs test to test for random walk for the period 1992 to 1998 and find that these…”
Efficiency in emerging markets--Evidence from the MENA region (2008, methodology): “Finally, Abraham et al. (2002) used the Beveridge-Nelson decomposition of indices and found mixed support for efficiency in the markets of Kuwait, Saudi Arabia and Bahrain.”
Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets (2010, unknown): “Abraham et al. (2002) studied Middle East markets.”
A New Variance Ratio Test of Random Walk in Emerging Markets: A Revisit (2007, unknown): “For instance, Abraham, Seyyed, and Alsakran (2002) report that the stock markets in Saudi Arabia and Bahrain are efficient, but the Kuwaiti market is not.”