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Market Predictability and Mean Reversion in MENA Markets: An Empirical Study of Equity Market Efficiency

Domaine:

socioeconomic

Type de record:

paper
Créateur:
MarNicRui
Éditeur:
Ass
Hôte:
This research aims to provide evidence for investors and regula­tors of the MENA stock markets, including Bahrain (BASI), Egypt (EGX 30), Abu Dhabi (FTSE ADX), Pakistan (KSE 100), Morocco (MASI), Oman (MSM 30), Qatar (QSE), Saudi Arabia (TADAWUL ALL), and Tunisia (TUNNIDEX), from March 1, 2018, to February 23, 2023. Because variance ratios are less than one, the results show that indexes do not follow the random walk hypoth­esis (RWH), suggesting autocorrelation in returns over time and average re­versal in all indexes. These findings refute both the RWH and the financial market information efficiency hypothesis. According to the study, market regulators should take initiatives to improve information in these regional markets.

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