Efficiency of Lebanese and Arab Gulf Financial Markets

Journal of Economics and Business

ISSN 2615-3726 (Online)

ISSN 2621-5667 (Print)

Published: 05 August 2019

Efficiency of Lebanese and Arab Gulf Financial Markets

Pr.Latifa Ghalayini, Sally Alkees

Lebanese University, Lebanon

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10.31014/aior.1992.02.03.119

Pages: 687-703

Keywords: Weak Form Market Efficiency, Volatility, Market Capitalization, Traded Volume, Unit Root Test, Random Walk Theory.

Abstract

Various studies have been made to test the efficiency of market in Lebanon and Arab Gulf States (AGS) theoretically and empirically, focusing mainly on building a model using the conventional finance. The purpose of this paper is to test the efficiency of AGS financial markets as well as the Lebanese one based on stationary method; furthermore it explores the reasons behind the non-efficiency in case it exists. However, to realize this objective ,this paper overviews the different methods behind testing efficiency in order to choose and use the most common one ,furthermore it studies also the Volatility using ARCH and GARCH and the Financial Characteristics behind each market, which leads to either enhance or reduce market efficiency so far. Findings prove that Lebanese, Abu Dhabi, Qatar, and Kuwait markets tend to be efficient in its weak form whereas Dubai, Saudi Arabia and Amman markets are non-efficient based on the average monthly data series and financial characteristics of the market over a specific period of time.

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