This paper investigates long-memory behavior of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most...

In this paper time-varying beta estimates for five key sectors in Kuwait stock market explored. The results of the paper support evidence of time-varying beta coefficients for all sectors included in the study. This result invalidates the standard application of Capital Asset Pricing Model...