Asset pricing in capital markets is a strikingly vibrant area of academic research and is considered as an indicator to evaluate the efficiency of stock markets. Though the explanation for the seas...

An Inquiry into the Persistence of Turn-of-the-Month Effect on Stock Markets in India: Insights and Perspectives on a Seasonal Anomaly:

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Testing the weak form of efficient market hypothesis: empirical evidence in the context of the covid-19 pandemic

This essay aims to analyse the impact of the 2020 global pandemic on the stock indexes of France (CAC 40), Germany (DAX 30), USA (DOW JONES), United Kingdom (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225) and Canada (TSX 300), from January 2018 to June 2020, with the sample being divided into two sub periods: first sub period from January 2018 to August 2019 (Pre-Covid); second period from September 2019 to June 2020 (Covid19). In order to carry out this analysis, different approaches were taken in order to analyse whether: (i) the global pandemic (Covid-19) increased the persistence of the G7 financial markets? In the Pre-Covid period, we can verify the presence of long memories in the Canadian market (TSX), while the markets in France (CAC 40) and Italy (FTSE MID) show signs of balance, since the random walk hypothesis was not rejected. The German (DAX 30), USA (DJI), United Kingdom (FTSE 100) and Japan (NIKKEI 225) markets have antipersistence (0 <α <0.5). In period II, the Covid-19-time scale is contained, and we verified the presence of significant long memories, except for the US stock index (0.49). These findings make it possible to show that the assumption of the market efficiency hypothesis may be called into question, because these markets are predictable, which validate the research question. The results of the pDCCA correlation coefficients, in the Pre-Covid period, show 14 pairs of median markets (0.333 → ≌ 0.666). We can also see 7 pairs of markets with strong correlation coefficients (0.666 → ≌ 1,000), showing that these markets have a tendency towards integration, this evidence may call into question the hypothesis of portfolio diversification. In period II (Covid-19) the λ_DCCA correlation coefficients have 7 strong market pairs (0.666 → ≌ 1,000), 5 pairs have weak pDCCA coefficient (0.000 → ≌ 0.333), 5 market pairs show anti-correlation (-1.000 → ≌ 0.000), and 4 market pairs show median coefficients (pDCCA) (0.333 → ≌ 0.666) (out of 21 possible). When compared to the previous subperiod, we found that the majority of the pDCCAs decreased, which shows that the markets have decreased their integration, making it possible to diversify portfolios in certain markets, especially in the Japanese market (NIKKEI 225). These conclusions open space for market regulators to take measures to ensure better informational information, in the stock markets, in the 7 most advanced economies in the world.

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The impact of the covid-19 on the financial markets: evidence from g7

The market efficiency hypothesis has become an important concept for all investors looking to own internationally diversified portfolios, which coincides with an increase in investment flows between all countries, both developed and undeveloped. This study was aimed at investigating the efficiency of a group of Arab stock markets located in the Middle East and North Africa (MENA) region according to the Random Walk Hypotheses (RWH) at weak form. The study covered the markets of Jordan, Egypt, Saudi Arabia, UAE, Bahrain, and Oman.The empirical results of all tests used in this study rejected the RWH at a weak form for all markets through all tests applied – Unit root test, Variance Ratio Test, and Run Test. The result of this study contradicts the results of many studies conducted on developed and emerging markets. This can be a good indication of the ineffectiveness of the reforms that have been adopted by responsible bodies on these markets.Based on this result, all efforts made to expand and deepen these markets should be intensified by improving liquidity, transparency, enhancing investment culture in these countries; supporting legislative and regulatory reforms to attract investment, and developing the financial sector in these markets as a whole.\nAcknowledgmentThis paper is supported by the Deanship of Scientific Research and Graduate Studies at Philadelphia University in Jordan.

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Investigating the efficiency of financial markets: Empirical evidence from MENA countries

This study tests the weak form of efficiency in GCCC markets namely The United Arab Emirates (UAE), Saudi Arabia, Oman, Kuwait and Bahrain except for Qatar. The data source used in this study is secondary, comprising main indices from these markets with a sample collected from 1/1/2013 to 30/12/2017 on a daily basis. The tests employed are descriptive statistic to check the basic features of the data. Unit root test was used to check the stationarity in the series; the run test along with the variance ratio test were used to check the randomness and efficiency of share price movement. The results suggest that none of the five major stock markets (Dubai Financial Market (DFM), Saudi Stock Exchange, Muscat Securities Market, Bahrain Stock Exchange (BSE), and Kuwait Stock Market) being studied followed a random walk; the null hypothesis has been rejected under all the cases.

Ariba Sabah

Papers

Testing the weak form of efficiency of the stock markets in Gulf Cooperation Council countries