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

Autores/as

Amira Akl Ahmed Benha University

DOI:

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

Palabras clave:

Hipótesis de Caminata Aleatoria, Eficiencia del Mercado de Valores, Pruebas de Cociente de Varianza, Bootstrap, Oriente Medio y África del Norte

Resumen

Múltiples pruebas de cociente de varianza, con el procedimiento de desplazamiento de periodos (rolling window), se aplicaron a datos semanales (expresados en moneda local y dólares de los E.E.U.U.) para cinco mercados bursátiles en la región de Medio Oriente y África del Norte (MOAN), durante 1995-2009. Los resultados indicaron que los mercados bursátiles de Israel y Turquía, grandes y con alta liquidez, están clasificados como los más eficientes. Los mercados egipcios y marroquíes convergieron hacia la eficiencia en el año 2002, debido a notables mejoras en la difusión de información y liquidez, mientras que el mercado jordano había restaurado su eficiencia al final del periodo de estudio. Los tipos de cambio no participaron en la determinación de la dinámica de las ganancias accionarias en los mercados de capital que fueron examinados.

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Biografía del autor/a

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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