Please use this identifier to cite or link to this item:
|Title:||The weak-form efficiency of the Saudi stock market|
|Authors:||Al-Razeen, Abdullah Mohamed.|
|Presented at:||University of Leicester|
|Abstract:||This study has examined the efficiency of the Saudi stock market by applying the weak-form test of the efficient market hypothesis, because the only information available is the prices of past years. To test for weak-form efficiency of SSM, the prices over a four-years period from 1992 to 1995 have been statistically analysed.;This thesis is divided into nine chapters. Chapter one is an introduction to this thesis. Chapters two and three briefly outline the structure of the Saudi Arabian economy and the financial system. The following two chapters review the classification of financial markets in general and the structure and regulation of the Saudi stock market.;Chapter six reviews literature concerning the efficient market theory and its implications in many studies.;Chapter seven discusses research methodologies used for market efficiency tests at the weak-form level in this study. In addition, data transformation and description are discussed.;Chapter eight contains the empirical examination included tests for empirical distribution of log price changes, auto-correlation tests, runs test and filter rules. The results are summarised in chapter nine.;However, this weak-form evidence indicates that the Saudi stock market has a lower level of efficiency than other large markets. The findings of this study are following the many researchers suggestions that small markets tend to have lower levels of efficiency than large well-traded markets.|
|Rights:||Copyright © the author. All rights reserved.|
|Appears in Collections:||Theses, School of Management|
Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.