Weak-form market efficiency and nonlinearity: evidence from Middle East and African stock indices

Kian‐Ping Lim

25 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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.

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1996A test for independence based on the correlation dimension 1991Chaos and Nonlinear Dynamics: Application to Financial Markets 1989Nonlinear Dynamics and Stock Returns 1985Evidence of Nonlinearity in Daily Stock Returns 1997A single-blind controlled competition among tests for nonlinearity and chaos 2002Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets 1997Uncovering Nonlinear Structure In Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100 1994MARKET EFFICIENCY IN DEVELOPING COUNTRIES: A CASE STUDY OF THE NAIROBI STOCK EXCHANGE

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