It is well known that stock returns, on average, are negative on Mondays. Yet, it is less well known that this finding is substantially the consequence of returns in prior trading sessions. When Friday's return is negative, Monday's return is negative nearly 80 percent of the time with a mean...

Purpose – This paper aims to examine the performance metrics of Saudi banks against the background of the proportion of foreign ownership. Design/methodology/approach – One of the empirical challenges in addressing small developing markets is the analysis of small samples. The current study...

Purpose – This paper aims to examine the performance metrics of Saudi banks against the background of the proportion of foreign ownership. Design/methodology/approach – One of the empirical challenges in addressing small developing markets is the analysis of small samples. The current study...

There is considerable evidence supporting the time-varying distribution of asset returns. There is also ample evidence that scheduled announcement events such as money supply announcements (in the case of foreign exchange), earnings announcements (in the case of stocks), and crop reports (in the...

Inferences drawn from tests of market efficiency are rendered imprecise in the presence of infrequent trading. As the observed index in thinly traded markets may not represent the true underlying index value, there is a systematic bias toward rejecting the efficient market hypothesis. For the...

Most tests of weak form efficiency of stock market prices are conducted on aggregate stock indices. Aggregation however introduces measurement biases when the constituent stocks in the index do not trade frequently. Non synchronous lagged trading and the consequent catching up, is likely to show...