An empirical investigation of the informational efficiency of the GCC equity markets: Evidence from bootstrap simulation

International Review of Financial Analysis

Volumn 19, Issue 1, 2010, Pages 47-54

  Al Janabi, Mazin A M ^a   Hatemi J, Abdulnasser ^a   Irandoust, Manuchehr ^a  

^a UNITED ARAB EMIRATES UNIVERSITY   (United Arab Emirates)

Author keywords

Bootstrap test; Equity market; GCC; Gold; Oil; The efficient market hypothesis

Indexed keywords

EID: 73649116296     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.irfa.2009.11.002     Document Type: Article

References (39)

1. Abraham A., Seyyed F., and Alsakran S. Testing the random walk behavior and efficiency of the gulf stock markets. The Financial Review 37 (2002) 469-480
2. Al-Khazali O., Ding D., and Soo Pyun C. A new variance ration test of random walk in emerging markets: A revisit. The Financial Review 42 (2007) 303-317
3. Al-Loughani N.E. Random walk in thinly traded stock markets: The case of Kuwait. Arab Journal of Administrative Sciences 3 (1995) 189-209
4. Bachelier L. Theory of speculation (1900), Gauthier-Villars, Paris
5. Beveridge S., and Nelson C.R. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. Journal of Monetary Economics 7 (1981) 151-174
6. Buguk C., and Brorsen B. Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange. International Review of Financial Analysis 12 (2003) 579-590
7. Butler K., and Malaikah S. Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia. Journal of Banking and Finance 16 (1992) 197-210
8. Cajueiro D., Gogas P., and Tabak B. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange. International Review of Financial Analysis 18 (2009) 50-57
9. Davison A.C., and Hinkley D.V. Bootstrap methods and their application (1999), Cambridge University Press, Cambridge, UK
10. Doornik J.A., and Hansen H. An omnibus test for univariate and multivariate normality. Oxford Bulletin of Economics and Statistics 70 (2008) 927-939
11. Efron B. Bootstrap methods: Another look at the jackknife. Annals of Statistics 7 (1979) 1-26
12. El-Erian M., and Kumar M. Emerging equity markets in the Middle Eastern countries. IMF Staff Papers 42 (1995) 313-343
13. Fama E.F. The behaviour of stock prices. Journal of Business 55 (1965) 201-231
14. Fama E.F. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25 (1970) 383-417
15. Fama E., and French K. Permanent and temporary components of stock prices. Journal of Political Economy 96 (1988) 246-273
16. Fama E. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49 (1998) 283-306
17. Granger C.W.J. Investigating causal relations by econometric models and cross-spectral methods. Econometrica 37 (1969) 424-439
18. Grieb T., and Reyes M.G. Random walk tests for Latin American equity indices and individual firms. Journal of Financial Research 4 (1999) 371383
19. Hacker R.S., and Hatemi-J A. A multivariate test for ARCH effects. Applied Economics Letters 12 7 (2005) 411-417
20. Hacker R.S., and Hatemi-J A. Tests for causality between integrated variables based on asymptotic and bootstrap distributions: Theory and application. Applied Economics 38 13 (2006) 1489-1500
21. Hacker R. S., Hatemi-J, A., 2008. Properties of procedures dealing with uncertainty about intercept and deterministic trend in unit root testing. Unpublished Manuscript, University of Jonkoping.
22. Hatemi-J A. Money supply and the informational efficiency of the stock market: evidence from an alternative methodology. Journal of Economic Integration 16 3 (2002) 427-436
23. Hatemi-J A. A new method to choose optimal lag order in stable and unstable VAR models. Applied Economics Letters 10 3 (2003) 135-137
24. Hatemi-J A. Is the equity market informationally efficient in Japan?. International Economics 16 3 (2004) 427-436
25. Hatemi-J A. Multivariate tests for autocorrelation in stable and unstable VAR models. Economic Modelling 21 4 (2004) 661-683
26. Hatemi-J A. Forecasting properties of a new method to choose optimal lag order in stable and unstable VAR models. Applied Economics Letters 15 4 (2008) 239-243
27. Hatemi-J A., and Irandoust M. A bootstrap-corrected causality test: Another look at the money-income relationship. Empirical Economics 31 1 (2006) 207-216
28. Lim K., and Kim J. Financial crisis and stock market efficiency: Empirical evidence from Asian countries. International Review of Financial Analysis 17 (2008) 571-591
29. Lo A.W. Fat tails, long memory, and the stock market since the 1960s. Economic Notes 2 (1997) 213-246
30. Lo A., and MacKinlay C. Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1 (1988) 41-66
31. Malkiel B.G. The efficient market hypothesis and its critics. Journal of Economic Perspectives 17 (2003) 59-82
32. Mandelbrot B. Forecasts of future prices, unbiased markets and martingale models. Journal of Business 39 (1966) 242-255
33. Ng S., and Perron N. Lag length selection and the construction of unit root tests with good size and power. Econometrica 69 6 (2001) 1519-1554
34. Ojah K., and Karemera D. Random walks and market efficiency tests of Latin American emerging equity markets: A revisit. The Financial Review 34 (1999) 57-72
35. Samuelson P. Proof that properly anticipated prices fluctuate randomly. Industrial Management Review 6 (1965) 41-49
36. Sims C.A., Stock J.H., and Watson M.W. Inference in linear time series models with some unit roots. Econometrica 58 (1990) 133-144
37. Toda H.Y., and Yamamoto T. Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics 66 (1995) 225-250
38. Urrutia J.L. Tests of random walk and market efficiency for Latin American emerging markets. Journal of Financial Research 18 (1995) 299-309
39. Wright J. Alternative variance-ratio tests using ranks and signs. Journal of Business and Economics Statistics 18 (2000) 1-9