Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/225534
Authors: 
Al-Faryan, Mamdouh Abdulaziz Saleh
Dockery, Everton
Year of Publication: 
2020
Citation: 
[Journal:] Review of Quantitative Finance and Accounting [ISSN:] 1573-7179 [Issue:] Latest Articles [Pages:] 1-30
Abstract: 
We study the informational efficiency of the Saudi stock market (SSM), while accounting for corporate governance change, based on single, multiple, and variance ratio-based WALD tests and runs test. The main findings indicate that when the whole period is considered, the random walk hypothesis is rejected, but when divided into two sub-periods separated by the pre-corporate governance and the period marked by corporate governance change, the analysis demonstrates sub-period improvement in weak-form efficiency for the examined series. Robustness of results is verified by analysis using sector indices, which point to market efficiency. Interestingly, Hurst Exponent estimates evidence long-range dependence which suggests the predictability of stock prices and the prospect of speculative opportunities.
Subjects: 
Saudi stock market
Corporate governance
Market efficiency
Random walk
Variance ratio
Hurst exponent
JEL: 
G14
G15
G34
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Document Version: 
Published Version






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