A Test of the Weak-form of the Efficient Markets Hypothesis for the Saudi Stock Market

被引：3

作者：

Al-Abdulqader, K. A. ^{[1
]}

Hannah, G. ^{[2
]}

Power, D. M. ^{[2
]}

机构：

[1] Mohammed Iben Saud Univ, Dept Business Management, Coll Shariah, Riyadh, Saudi Arabia

[2] Univ Dundee, Sch Accounting & Finance, Dundee DD1 4HN, Scotland

来源：

JOURNAL OF EMERGING MARKET FINANCE | 2007年 / 6卷 / 02期

关键词：

Weak-form; stock market efficiency; Saudi Arabia;

D O I：

10.1177/097265270700600202

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article examines the weak-form of the efficient market hypothesis (EMH) for the Saudi Stock Market. Specifically, it considers whether patterns are present in share returns such that investors can out perform the market by trading on the basis of historic information. Two different trading strategies are tested on weekly data for 45 companies spanning the period 1990 to 2000. The results suggest that while there is some evidence of predictability in share returns, support for EMH is stronger than in previous studies. This improved efficiency of the Saudi Stock Market may be attributed to technological and regulatory developments introduced by the Saudi government.

引用

页码：167 / 190

页数：24

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