Testing the Weak-Form Efficiency of the Palestinian Securities Market

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dc.contributor.authorAwad, Ibrahim
dc.contributor.authorDaraghma, Zahran
dc.date.accessioned2018-09-15T11:35:04Z
dc.date.available2018-09-15T11:35:04Z
dc.date.issued2009-10-03
dc.description.abstractThis paper examines the efficiency of the Palestine Security Exchange (PSE) at the weak-level for 35 stocks listed in the market by using daily observations of the PSE indices: Alquds index, general index, and sector indices. Parametric and nonparametric tests for examining the randomness of the PSE stock prices were utilized. The parametric tests include serialcorrelation test, and Augmented Dickey-Fuller (ADF) unit root tests. The nonparametric tests include runs test, and Phillips-Peron (PP) unit root test. The study utilized nonparametric tests for investigating the efficiency of the PSE at the weak level, especially, the results of Jarque-Bera test for normality showed that the daily returns of the PSE are not normally distributed. The serial correlation tests and the runs tests both revealed that the daily returns are inefficient at the weak-form. Also, the unit root tests (Augmented Dickey-Fuller (ADF) unit root test and Phillips-Peron (PP) unit root test) suggest the weak-form inefficiency in the return series. However, the PSE is inefficient at the weak level; as a result, this is likely to be an evidence that the prudent investor who deals with the PSE will achieve abnormal returns using historical data of stock prices, and trading volume.en_US
dc.identifier.issn1450-2887
dc.identifier.urihttps://dspace.alquds.edu/handle/20.500.12213/895
dc.language.isoen_USen_US
dc.publisherEuroJournals Publishingen_US
dc.subjectPalestine Security Exchangeen_US
dc.subjectWeak-Form Efficient Market Hypothesesen_US
dc.subjectSerial Correlation Testen_US
dc.subjectRuns Testen_US
dc.subjectUnit Root Testsen_US
dc.subjectAlquds Indexen_US
dc.titleTesting the Weak-Form Efficiency of the Palestinian Securities Marketen_US
dc.typeArticleen_US
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