Segot, Thomas Lagoarde; Lucey, Brian M - Institute for International Integration Studies (IIIS), … - 2005
The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by investigating both the weak-form efficiency hypothesis (WFEMH) and the presence of abnormal returns. Starting with tests for the random-walk hypothesis, we use daily data returns and a...