قياس كفاءة الورصات العربية عند المستوى الضعيف خلال الفترة 2017-2007
الملخص
The volatility in stock exchanges are one of the most debated issues in modern
financial and economic literature, especially after the openness and financial
integration of the global economy and the recurrence of financial crises. This study
aims to measurement Efficient of Arab stock exchanges at the weak leve, The
study included four Arab stock exchanges: Saudi Arabia, Abu Dhabi, Qatar and
Algeria during the period 01-01-2007 to 31-12-2017, using daily data for stock
indices, We apply Stationarity and Independence models. The study concludes that
the returns of Arab stock exchanges Do not follow normal distribution and do not
Random walk, This means that the Arab stock markets are inefficient at the weak
level.
Keywords: Capital market efficiency, Random walk, Fat taille, Martingale model,
Arab stock exchanges.
Jel Classification Codes: C5, G15, E30 , M20
المراجع
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single stock markets and as a regional stock market? Research in International Business
and Finance, 33, 221–246.
14. Jensen, M. C. (1978). Some anomalous evidence rega
the Efficient Markets Hypothesis for the Kuwait Stock Exchange, Journal of Emerging
Market Finance 17(1).
5. Bachelier, L. (1900). théorie de la speculation, Thèses présentées à la Faculté des sciences de
Paris pour obtenir le grade de docteur ès sciences mathématiques. Gauthier-Villars, Paris.
Available from http://worldcat.org /z-wcorg/ database.
6. Bailey, R. E. (2005). The economics of financial markets: Cambridge University Press.
7. Bizhan, A. (2009). Weak–form Efficiency Stock Market in the Gulf Cooperation Council
Countries. SCMS Joournal of Indian Management.
8. Cowles, A. (1933). Can stock market forecasters forecast? Econometrica: Journal of the
econometric society, 309-324.
9. Dimson, E., & Mussavian, M. (1998). A brief history of market efficiency. EUFM European
Financial Management, 4(1), 91-103.
10. Elango, R., & Hussein, M. I. (2008). An Empirical Analysis on the Weak-Form Efficiency of the
GCC Markets Applying Selected Statistical Tests. International Review of Business
Research Papers, 4 (1).
11. Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-
105.
12. Fama, E. F. (1991). Efficient capital markets: II. The journal of finance. 46(5), 1575-1617.
13. Jamaani, F., & Roca, E. (2015). Are the regional Gulf stock markets weak-form efficient as
single stock markets and as a regional stock market? Research in International Business
and Finance, 33, 221–246.
14. Jensen, M. C. (1978). Some anomalous evidence rega
