Do general indexes mask sectoral efficiencies?: A multiple variance ratio assessment of Middle Eastern equity markets

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Author Benjelloun, H. en_US
Author Squalli, J. en_US
Available date 2009-12-31T06:01:34Z en_US
Publication Date 2008 en_US
Citation Hicham Benjelloun, Jay Squalli, (2008) "Do general indexes mask sectoral efficiencies?: A multiple variance ratio assessment of Middle Eastern equity markets", International Journal of Managerial Finance, Vol. 4 Iss: 2, pp.136 - 151 en_US
URI http://dx.doi.org/ 10.1108/17439130810864023 en_US
URI http://hdl.handle.net/10576/10588 en_US
Abstract Purpose - The purpose of the paper is to attempt to shed light on whether the use of general indexes may mask sectoral efficiencies by investigating the random walk (RW) and weak-form efficiency (WFE) hypotheses in the equity markets of Jordan, Qatar, Saudi Arabia, and the United Arab Emirates. Design/methodology/approach - The paper applies the multiple variance ratio test and the runs test to each equity market's weekly general and sectoral indexes. Findings - The paper provides evidence of inconsistencies in three of the five analyzed equity markets when testing the RW hypothesis and in four of the five analyzed markets when testing the WFE hypothesis. Originality/value - The findings in this paper provide empirical evidence supporting the use of sectoral indexes in lieu of general indexes in equity market analyses. These results have important financial and policy implications and would be of interest to investors, financial managers, and policy makers. en_US
Language en en_US
Publisher Emerald Group Publishing Limited en_US
Subject Equity capital en_US
Subject Middle East en_US
Subject Process efficiency en_US
Title Do general indexes mask sectoral efficiencies?: A multiple variance ratio assessment of Middle Eastern equity markets en_US
Type Article en_US


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