Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach
Besma Hkiri,
Azza Béjaoui,
Cheima Gharib,
Hashem A. AlNemer
Affiliations
Besma Hkiri
College 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, Tunisia
Azza Béjaoui
Higher Institute of Management, Tunis University, Tunisia; Corresponding author.
Cheima Gharib
Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC), UMR 7360 CNRS / Université de Lorraine, Bâtiment IBiSE - Campus Bridoux - 8 rue du Général Delestraint, F-57070, METZ, France
Hashem A. AlNemer
Associate Professor of Finance & Insurance- College of Business, University of Jeddah, Jeddah, Saudi Arabia
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.
