Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests: Evolución y eficiencia relativa de los mercados bursátiles de MENA: evidencia de pruebas de índice de varianza conjunta móvil

Amira Akl Ahmed

doi:10.29105/ensayos33.1-4

Authors

Amira Akl Ahmed Benha University

DOI:

https://doi.org/10.29105/ensayos33.1-4

Keywords:

Random Walk Hypothesis, Stock Market Efficiency, Variance Ratio Tests, Wild Bootstrap, Middle East and North Africa

Abstract

Multiple variance ratio tests, in rolling window procedure, were applied to weekly data (expressed in local and US dollar currencies) for five stock markets in the Middle East and North Africa during 1995-2009. Results indicated that the big and liquid stock markets of Israel and Turkey are ranked as the most efficient. The Egyptian and Moroccan stock markets converged towards efficiency by 2002, due to remarkable improvements in liquidity and information dissemination, whereas the Jordanian stock markets restored its efficiency at the end of the study period. Exchange rates did not matter in determining the dynamics of share returns for equity markets examined.

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Author Biography

Amira Akl Ahmed, Benha University

Lecturer in Economics, Benha University, Egypt. Ph.D. in Economics, University of Leicester, England. Address: 18 Atteyah Osman Street, Atreeb, Benha, Egypt. Postcode: 13111. Mobile phone no: 002 011 25999 080.

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