Investigating the efficiency of financial markets: Empirical evidence from MENA countries
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DOIhttp://dx.doi.org/10.21511/imfi.18(1).2021.21
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Article InfoVolume 18 2021, Issue #1, pp. 250-259
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The market efficiency hypothesis has become an important concept for all investors looking to own internationally diversified portfolios, which coincides with an increase in investment flows between all countries, both developed and undeveloped. This study was aimed at investigating the efficiency of a group of Arab stock markets located in the Middle East and North Africa (MENA) region according to the Random Walk Hypotheses (RWH) at weak form. The study covered the markets of Jordan, Egypt, Saudi Arabia, UAE, Bahrain, and Oman.
The empirical results of all tests used in this study rejected the RWH at a weak form for all markets through all tests applied – Unit root test, Variance Ratio Test, and Run Test.
The result of this study contradicts the results of many studies conducted on developed and emerging markets. This can be a good indication of the ineffectiveness of the reforms that have been adopted by responsible bodies on these markets.
Based on this result, all efforts made to expand and deepen these markets should be intensified by improving liquidity, transparency, enhancing investment culture in these countries; supporting legislative and regulatory reforms to attract investment, and developing the financial sector in these markets as a whole.
Acknowledgment
This paper is supported by the Deanship of Scientific Research and Graduate Studies at Philadelphia University in Jordan.
- Keywords
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JEL Classification (Paper profile tab)G11, G14, G15, D53
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References31
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Tables4
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Figures0
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- Table 1. Descriptive statistics
- Table 2. Unit root test results
- Table 3. Variance ratio (VR) test results
- Table 4. Runs test results
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Testing of weak form of efficient market hypothesis: evidence from the Bahrain Bourse
Iqbal Thonse Hawaldar
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Babitha Rohit ,
Prakash Pinto
doi: http://dx.doi.org/10.21511/imfi.14(2-2).2017.09
Investment Management and Financial Innovations Volume 14, 2017 Issue #2 (cont. 2) pp. 376-385 Views: 10423 Downloads: 2382 TO CITE АНОТАЦІЯEfficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.
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The impact of foreign ownership on corporate governance: evidence from an emerging market
Rawan Shubita , Moade Fawzi Shubita
doi: http://dx.doi.org/10.21511/imfi.16(2).2019.09
Investment Management and Financial Innovations Volume 16, 2019 Issue #2 pp. 101-115 Views: 2034 Downloads: 302 TO CITE АНОТАЦІЯThis research explores the influence of foreign ownership on non-financial public shareholding firms in the Amman Stock Exchange (ASE). The study involved an investigation into the connection between non-Jordanian ownership and the company growth opportunity, stock liquidity, leverage, dividend policy and business output. The results highlight that foreign ownership can provide improved corporate governance practices by playing a decisive role in increasing the growth opportunity and enhancing the firms’ market valuation, as measured by Tobin’s Q. Moreover, the findings indicate that companies with foreign board membership have better operating performance and higher firm value. The rewards were reaped by foreign investors based on their superior monitoring ability, which affects the decisions made and actions taken by management.
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Fund performance-flow relationship and the role of institutional reform
Jinyu Feng ,
Wenzhao Wang
doi: http://dx.doi.org/10.21511/imfi.15(1).2018.26
Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 311-327 Views: 1943 Downloads: 225 TO CITE АНОТАЦІЯExtant literature shows the positive impact of institutional development on investor rationality and market efficiency. The authors extend this evidence by investigating the performance-flow relationship in the Chinese mutual fund market before and after the enforcement of the revised Law of the People’s Republic of China on Securities Investment Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers before institutional reform, but gradually become rational and less obsessed with star-chasing behaviors after reform. Moving one percentile upward in the relative performance among the star funds is associated with money inflows by 0.532% after reform, much lower than 1.433% before reform. The findings confirm the positive influence of institutional development on investor rationality and market efficiency. The successful experience can be borrowed by other emerging markets with less developed institutions.
