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 journalArticle

    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 languageEnglish
    Pages (from-to)167-190
    Number of pages24
    JournalJournal of Emerging Market Finance
    Volume6
    Issue number2
    DOIs
    Publication statusPublished - May 2007

    Keywords

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

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