قياس كفاءة الورصات العربية عند المستوى الضعيف خلال الفترة 2017-2007

Abstract

The volatility in stock exchanges are one of the most debated issues in modern
financial and economic literature, especially after the openness and financial
integration of the global economy and the recurrence of financial crises. This study
aims to measurement Efficient of Arab stock exchanges at the weak leve, The
study included four Arab stock exchanges: Saudi Arabia, Abu Dhabi, Qatar and
Algeria during the period 01-01-2007 to 31-12-2017, using daily data for stock
indices, We apply Stationarity and Independence models. The study concludes that
the returns of Arab stock exchanges Do not follow normal distribution and do not
Random walk, This means that the Arab stock markets are inefficient at the weak
level.
Keywords: Capital market efficiency, Random walk, Fat taille, Martingale model,
Arab stock exchanges.
Jel Classification Codes: C5, G15, E30 , M20