Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/225534 
Year of Publication: 
2020
Citation: 
[Journal:] Review of Quantitative Finance and Accounting [ISSN:] 1573-7179 [Issue:] Latest Articles [Publisher:] Springer [Place:] Heidelberg, Berlin [Year:] 2020 [Pages:] 1-30
Publisher: 
Springer, Heidelberg, Berlin
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: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version
Appears in Collections:






Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.