Publication Type
Journal Article
Version
acceptedVersion
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
Citation
Al-Khazali, O.; DING, David K.; and Pyun, C.S..
A new variance ratio test of random walk in emerging markets: A revisit. (2007). Financial Review. 42, (2), 303-317.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/977
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/j.1540-6288.2007.00173.x