Testing the Weak Form Efficiency of the Damascus Securities Exchange

This study examines the weak form efficiency of the Damascus Securities Exchange (DSE), one of the most nascent markets in the MENA region. The study uses the daily returns of the DWX index from 31-12-2009, the date of launching the index, to 30-11-2011, in order to examine whether the returns on the DSE follow a random walk. Applying several tests of random walk, the results conclusively reveal that stock prices on the DSE do not follow the random walk model, and hence, the weak form efficiency of the DSE is rejected. Unlike most of the research conducted in emerging markets, the findings are not driven by thin trading as this was taken into account when conducting the tests. The fact that the DSE is inefficient in the weak form has very profound implications for investors' choices of investment strategies and for policy makers