Publication Type

Journal Article

Publication Date

2007

Abstract

Using a nonparametric variance ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent and small stock markets, we cannot reject the random walk hypothesis for the MENA markets. We conclude that a nonparametric VR test is appropriate for emerging stock markets, and argue that our findings can reconcile previously contradictory results regarding the efficiency of MENA markets. [ABSTRACT FROM AUTHOR]

Keywords

Emerging stock markets, Random walk hypothesis, Middle East and North Africa (MENA) stock markets

Discipline

Business

Research Areas

Finance

Publication

Financial Review

Volume

42

Issue

2

First Page

303

Last Page

317

ISSN

0732-8516

Identifier

10.1111/j.1540-6288.2007.00173.x

Publisher

Wiley

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Included in

Business Commons

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