THE EFFICIENCY OF ARAB STOCK MARKETS: A COMPARATIVE STUDY FROM 2002 TO 2018

Abstract

In an efficient stock market, where information is almost freely available to all participants, competition among the many intelligent participants leads to a situation where stock prices always fully reflect the available information; In other words, in an efficient market the using of technical and fundamental analysis to predict the stock prices Movements are completely useless i.e. any investor cannot obtain a yield exceeding the normal level. This thesis investigates the efficiency of some selected Arab stock markets namely: Saudi Arabia, Egypt, and Morocco over the period from 2002 to 2018; To do so, "Run Test" and "Fixed- and Random-effects models of Panel data" are employed respectively to test the weak-form and the semi-strong form efficient market hypothesis. The findings showed that Arab stock markets under study are efficient in weak-form, and inefficient in semi-strong form.