L’EFFICIENCE DU MARCHÉ DANS LES MARCHÉS ÉMERGENTS ET FRONTIÈRES DE LA ZONE MENA

Mustapha ELHAMI, Ahmed HEFNAOUI

Résumé


The daily and weekly returns of stock indices were analysed to investigate the market efficiency in emerging and frontier markets in Middle East and North Africa region (MENA).On the basis of a test set, autocorrelation test, runs test, unit root test and multiple variance ratio test, and on an analysis of 07 years of data, our results show mixed results for different indices. However, returns series of emerging and frontier markets indicate the absence of market efficiency. In aggregate we concluded that the daily and weekly returns of stock indices do not follow random walks in countries of MENA region. Hence it is concluded that the investors may get the stream of arbitrage benefits due to market inefficiency belonging to these countries

 


Mots-clés


market efficiency, random walk, runs test, unit root test, variance ratio test, MENA region, frontier markets, emergent markets.

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ISSN : 2489-1290

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