ﺆﺒﻨﺘﻟا تﺎﻴﻧﺎﻜﻣإو رﺎﻌﺳﻷا تاﺮﺷﺆﻤﻟ … · The results show that GCC Stock Markets have a high extent of risk associated with increased

زائرــالج–ستغمناتلالمركز الجامعي / مجلة االجتهاد للدراسات القانونية واالقتصادية

2014جوان –)06(ع/محّكمةسداسية ادــمجلة االجتهحقوق: د الــمعه )190(

الخصائص العشوائية لمؤشرات األسعار وإمكانيات التنبؤ بالعوائد في أسواق األوراق المالية الخليجية

رفيق مزاهدية.أجامعة خنشلة

S

2003 2012

Stochastic Characteristics of Stock Prices and Return's Predictability inGCC Stock MarketsAbstract:This paper examines the behavioral characteristics of stock price and thepredictability of returns in all of GCC Stock Markets. The data consists ofdaily stock prices indices from January 2003 to October 2012. Theindividual stochastic investigation is conducted by means of the unitroot tests and test for autocorrelation of returns. The Autoregressivemodels of returns are also applied to examine their predictability.

)191(

)06(العدد- االجتهـــاد االقتصادية قسم الدراسات

الجزائر-ستغمناتلالمركز الجامعي الحقـــــــــــــــــوق معهد؛االجتهــــادمجلة

The results show that GCC Stock Markets have a high extent ofrisk associated with increased returns, characterized by nonlineardynamics. As to the unit roots tests, it seems that most of stock marketindices under scrutiny (except Kuwait, Qatar and Mascot) containstochastic trends, thus are non-stationary in level, but they tend to bestationary in first difference, indicating that the majority of them areonly weak form efficient in level. Besides these tests, it was foundsignificant autocorrelation coefficients among the daily return series inmost of stock markets (except Dubai), suggesting that they do not followa random walk. In the same context, it was found a strong relationshipamong actual and past returns in most stock markets (unless Dubai).This evidence implies that returns may be predictable in short term onthe basis of past information for returns.Key Words: Random Walk Hypothesis, Weak Form of the Efficient MarketHypothesis, Return's Predictability, Unit Root Test, Autocorrelation Test, ARModels, GCC Stock Markets.

أ.رفيق مزاهدية... الخصائص العشوائية لمؤشرات األسعار

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Documents

ﺆﺒﻨﺘﻟا تﺎﻴﻧﺎﻜﻣإو رﺎﻌﺳﻷا تاﺮﺷﺆﻤﻟ … · The results show that GCC Stock Markets have a high extent of risk associated with increased