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

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

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dc.contributor.author Benjelloun, H.
dc.contributor.author Squalli, J.
dc.date.accessioned 2009-12-31T06:01:34Z
dc.date.available 2009-12-31T06:01:34Z
dc.date.issued 2008
dc.identifier.citation Volume 4, Issue 2, 2008, Pages 136-151 en_US
dc.identifier.uri http://dx.doi.org/ 10.1108/17439130810864023
dc.identifier.uri http://hdl.handle.net/10576/10588
dc.description.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
dc.language.iso en en_US
dc.publisher Emerald Group Publishing Limited en_US
dc.subject Equity capital en_US
dc.subject Middle East en_US
dc.subject Process efficiency en_US
dc.title Do general indexes mask sectoral efficiencies?: A multiple variance ratio assessment of Middle Eastern equity markets en_US
dc.type Article en_US

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