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- W2165140714 abstract "Abstract The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by investigating both the weak-form efficiency hypothesis (WFEMH) and the presence of abnormal returns. Starting with tests for the random-walk hypothesis, we use daily data returns and a battery of econometric tests including unit-root analysis, individual and multiple variance ratio, wild bootstrapping and non-parametric tests based on ranks. Our results suggest that only the region’s largest markets, Israel and Turkey, follow a random walk. Turning to technical trade analysis, our results reinforce the hypothesis of stock market predictability. Both variable moving average (VMA) and trade range breaking (TRB) trade rules yield significant abnormal returns. We complete the analysis with profit simulations based on the breakeven costs computation methodology and taking into account local transaction costs. Our findings highlight the presence of significant portfolio investment opportunities in the MENA. Corresponding Author: Brian M Lucey, School of Business Studies and Institute for International Integration, University of Dublin, Trinity College, Dublin 2, Ireland Email: Blucey@tcd.ie Phone: 353-1-6081552 Thomas Lagoarde- Segot, School of Business Studies and Institute for International Integration, University of Dublin, Trinity College, Dublin 2, Ireland Email: lagoardt@tcd.ie Phone: 353-1-6081552" @default.
- W2165140714 created "2016-06-24" @default.
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- W2165140714 date "2005-01-01" @default.
- W2165140714 modified "2023-09-23" @default.
- W2165140714 title "Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis" @default.
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- W2165140714 doi "https://doi.org/10.2139/ssrn.792204" @default.
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