Testing for efficiency in the Saudi stock market: does corporate governance change matter?

Artikel

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Review of Quantitative Finance and Accounting ; ISSN: 1573-7179 ; Year: 2020 ; Issue: Latest Articles ; Pages: 1-30 ; Heidelberg, Berlin: Springer

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Information and Market Efficiency; Event Studies; Insider Trading ; International Financial Markets ; Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
• Thema: Saudi stock market ; Corporate governance ; Market efficiency ; Random walk ; Variance ratio ; Hurst exponent

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Al-Faryan, Mamdouh Abdulaziz Saleh ; Dockery, Everton
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg, Berlin
• (wann): 2020

Weitere Informationen

• DOI: doi:10.1007/s11156-020-00939-0
• Handle: http://hdl.handle.net/10419/225534
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ