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

K. A. Al–abdulqader; G. Hannah; D. M. Power

doi:10.1177/097265270700600202

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

K. A. Al–abdulqader, G. Hannah, D. M. Power

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	167-190
Number of pages	24
Journal	Journal of Emerging Market Finance
Volume	6
Issue number	2
DOIs	https://doi.org/10.1177/097265270700600202
Publication status	Published - May 2007

Keywords

JEL Classification: G14
Saudi Arabia
stock market efficiency
Weak–form

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1177/097265270700600202

Cite this

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abstract = "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.",

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AB - 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.

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

Abstract

Keywords

ASJC Scopus subject areas

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