Title: Market efficiency: Saudi stock exchange
Authors: Hans-Philipp Otto - EBS Universitat fur Wirtschaft und Recht (Germany) [presenting]
Abstract: Saudi Arabia is facing an array of major social, economic, and structural changes striving for transformation from an oil dependent country into a high tech and knowledge based economy with a thriving private sector driven by the threat of budget deficits while at the same time shaping the future by undertaking major lighthouse development projects. The Saudi Stock Exchange amplifies its efforts in the enhancement of the structural and regulatory improvement making the Saudi Stock Market attractive to foreign investors and prepared for the Aramco IPO. The aim is, firstly, to provide a thorough overview of the literature in the overlap of the weak form market efficiency hypothesis testing and the Saudi Stock Market and, secondly, to deepen this overlap by adding the dimension of the subindices to the assessment while, thirdly, applying a well-balanced and exhaustive set of parametric and nonparametric methods to the complete timeframe with 15 subindices from 2007 to 2017 to answer the research questions whether the TASI and its subindices are weak form efficient and whether the degree of efficiency does evolve over time by examining segmented datasets on possible evolutions over time. It can be concluded that the TASI as well as all subindices are not weak form market efficient but do not exhibit long range dependency. Interestingly, the efficiency improves during the time of the financial crisis and alienates during the period of recovery from the financial crisis.