Testing the Efficient Market Hypothesis at the Semi Strong Level in Palestine Stock Exchange – Event Study of the Mandatory Disclosure

It is common to distinguish among three versions of the Efficient Market Hypothesis EMH: the weak; the semi-strong; and the strong forms of the hypothesis. These versions differ by their notions of what is meant by the term "all available information". The Semi-Strong form hypothesis states that all publicly available information regarding the prospects of a firm must be already reflected in the stock price. The type of test conducted in this version is Event Study. We perform an event study to test the efficiency of the market hypothesis at the semi strong level for Palestine Stock Exchange, to realize the effect of the mandatory disclosure on stock prices. The results show that we can reject the null hypothesis that there is no difference between the average abnormal return and zero which indicates that the market is inefficient at the semi strong level and that the information are gradually reflected on the stock prices