The Test of the Efficiency of the Saudi Financial Capital Markets at Weak Form: An Empirical Study of the TASI Index and Sub-Indices of the Saudi Market

Tharwah Shaalan

Abstract


The aim of this paper is to examine the normality of the destitution of the main Saudi TASI Index and the other sub-indices, as well as to test the random walk hypotheses of the Saudi TASI index and the random walk hypotheses of the main sectors index and the sub-indices in Saudi capital market. It investigates the weak form efficiency of the Saudi capital market. The study highlights the importance of structuring in the Saudi market, with regard to the redistribution of some companies in other sectors, in addition to the increase in the number of companies listed in the Saudi Tadawul market, where the study included larger and longer sectors in terms of the time period. An as extension, it requests the reconsideration of some previous studies, some of which proved the efficiency of the Saudi market and others which proved the inefficiency of the Saudi market at the level of low efficiency. The study test includes daily indices return from December 2002–October 2010. The results show that return series of all Saudi market indices have non-normal distribution. This paper applied four tests to examine the study’s hypotheses. The Shapiro Wilk test of normality of the Skewness/Kurtosis applied and the other tests for RWH Box-Ljung, the other test one is parametric test Augmented Dicky-Fuller test and the other test is non-parametric test Phillips-Perron test and Run test. The result that was found states that the Saudi market’s indices are inefficient in the weak form hypotheses.


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DOI: https://doi.org/10.5430/afr.v8n1p183

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Accounting and Finance Research
ISSN 1927-5986 (Print)   ISSN 1927-5994 (Online)

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