Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach
In this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence...
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2021-09-01
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844021021319 |
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doaj-19df180c009848cf874fd1c82c2ce4d52021-10-04T10:53:14ZengElsevierHeliyon2405-84402021-09-0179e08028Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approachBesma Hkiri0Azza Béjaoui1Cheima Gharib2Hashem A. AlNemer3College of Business, University of Jeddah, Jeddah, Saudi Arabia; Higher Institute of Management, University of Carthage, Tunisia Faculty of Economics and Management of Tunis, International Finance Group Lab., University of Tunis El Manar, TunisiaHigher Institute of Management, Tunis University, Tunisia; Corresponding author.Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC), UMR 7360 CNRS / Université de Lorraine, Bâtiment IBiSE - Campus Bridoux - 8 rue du Général Delestraint, F-57070, METZ, FranceAssociate Professor of Finance & Insurance- College of Business, University of Jeddah, Jeddah, Saudi ArabiaIn this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence of multifractality and anti-persistent movements of returns, implying a departure from the weak-form efficiency hypothesis. We also show that the political events adversely affect the efficiency degree of most markets. The empirical results clearly display the dynamic behavior of market efficiency. These findings are in line with the implications of the Adaptive Market Hypothesis.http://www.sciencedirect.com/science/article/pii/S2405844021021319Market efficiencyMF-DFAArab springEmerging marketsMultifractalityWTMM |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Besma Hkiri Azza Béjaoui Cheima Gharib Hashem A. AlNemer |
| spellingShingle |
Besma Hkiri Azza Béjaoui Cheima Gharib Hashem A. AlNemer Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach Heliyon Market efficiency MF-DFA Arab spring Emerging markets Multifractality WTMM |
| author_facet |
Besma Hkiri Azza Béjaoui Cheima Gharib Hashem A. AlNemer |
| author_sort |
Besma Hkiri |
| title |
Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach |
| title_short |
Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach |
| title_full |
Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach |
| title_fullStr |
Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach |
| title_full_unstemmed |
Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach |
| title_sort |
revisiting efficiency in mena stock markets during political shocks: evidence from a multi-step approach |
| publisher |
Elsevier |
| series |
Heliyon |
| issn |
2405-8440 |
| publishDate |
2021-09-01 |
| description |
In this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence of multifractality and anti-persistent movements of returns, implying a departure from the weak-form efficiency hypothesis. We also show that the political events adversely affect the efficiency degree of most markets. The empirical results clearly display the dynamic behavior of market efficiency. These findings are in line with the implications of the Adaptive Market Hypothesis. |
| topic |
Market efficiency MF-DFA Arab spring Emerging markets Multifractality WTMM |
| url |
http://www.sciencedirect.com/science/article/pii/S2405844021021319 |
| work_keys_str_mv |
AT besmahkiri revisitingefficiencyinmenastockmarketsduringpoliticalshocksevidencefromamultistepapproach AT azzabejaoui revisitingefficiencyinmenastockmarketsduringpoliticalshocksevidencefromamultistepapproach AT cheimagharib revisitingefficiencyinmenastockmarketsduringpoliticalshocksevidencefromamultistepapproach AT hashemaalnemer revisitingefficiencyinmenastockmarketsduringpoliticalshocksevidencefromamultistepapproach |
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