Long Memory and Stock Market Efficiency: Case of Saudi Arabia
This paper examines the market efficiency of Saudi Arabia stock exchange market namely Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of stock market, we analyze the dependence structure of stock market index returns and volatility. The results demonstrate t...
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| Format: | Article |
| Language: | English |
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EconJournals
2020-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/9568 |
| _version_ | 1797921582182563840 |
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| author | Rim Ammar Lamouchi |
| author_facet | Rim Ammar Lamouchi |
| author_sort | Rim Ammar Lamouchi |
| collection | DOAJ |
| description |
This paper examines the market efficiency of Saudi Arabia stock exchange market namely Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of stock market, we analyze the dependence structure of stock market index returns and volatility. The results demonstrate that Saudi stock market shows long memory. The long memory process of Saudi Stock Market offers evidence against efficient market hypothesis (EMH). The ARFIMA model supports the presence of long-run dependence in the historical volatility of the Saudi stock market, giving further support against the EMH.
Keywords: Market efficiency, Long memory, Stock market Index.
JEL Classifications: C13, C22, C53, G10, G17
DOI: https://doi.org/10.32479/ijefi.9568
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| first_indexed | 2024-04-10T14:17:56Z |
| format | Article |
| id | doaj.art-d40a306c5e7a4b74838a79963279d9a3 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:17:56Z |
| publishDate | 2020-04-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-d40a306c5e7a4b74838a79963279d9a32023-02-15T16:09:26ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382020-04-01103Long Memory and Stock Market Efficiency: Case of Saudi ArabiaRim Ammar Lamouchi0Faculty of Economics and Administration King Abdulaziz University. Ministry of Education, Tunisia, GEF-2A Laboratory, Higher Institute of Management of Tunis, Tunis University, Tunisia. This paper examines the market efficiency of Saudi Arabia stock exchange market namely Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of stock market, we analyze the dependence structure of stock market index returns and volatility. The results demonstrate that Saudi stock market shows long memory. The long memory process of Saudi Stock Market offers evidence against efficient market hypothesis (EMH). The ARFIMA model supports the presence of long-run dependence in the historical volatility of the Saudi stock market, giving further support against the EMH. Keywords: Market efficiency, Long memory, Stock market Index. JEL Classifications: C13, C22, C53, G10, G17 DOI: https://doi.org/10.32479/ijefi.9568 https://www.econjournals.com/index.php/ijefi/article/view/9568 |
| spellingShingle | Rim Ammar Lamouchi Long Memory and Stock Market Efficiency: Case of Saudi Arabia International Journal of Economics and Financial Issues |
| title | Long Memory and Stock Market Efficiency: Case of Saudi Arabia |
| title_full | Long Memory and Stock Market Efficiency: Case of Saudi Arabia |
| title_fullStr | Long Memory and Stock Market Efficiency: Case of Saudi Arabia |
| title_full_unstemmed | Long Memory and Stock Market Efficiency: Case of Saudi Arabia |
| title_short | Long Memory and Stock Market Efficiency: Case of Saudi Arabia |
| title_sort | long memory and stock market efficiency case of saudi arabia |
| url | https://www.econjournals.com/index.php/ijefi/article/view/9568 |
| work_keys_str_mv | AT rimammarlamouchi longmemoryandstockmarketefficiencycaseofsaudiarabia |