Kian-Ping Lim
Applied Economics Letters, Taylor and Francis, 16(5), 519-522
Publication year: 2009

Abstract

This study examines the existence of nonlinear serial dependence in five stock markets in the Middle East and Africa. The results from the application of a battery of nonlinearity tests reveal that after removing all short-term linear dependence, the stock returns still contain predictable nonlinearities that contradict the unpredictable criterion of weak-form efficient markets hypothesis.

Keywords

Efficient market hypothesis; Nonlinearity; Return predictability; Middle East; Stock market