Nguyễn Mỹ Linh | University of Sunderland (original) (raw)

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Papers by Nguyễn Mỹ Linh

The aim of this paper is twofold: first, it investigates the existence of the random walk hypothe... more The aim of this paper is twofold: first, it investigates the existence of the random walk hypothesis (RWH) by testing the weak-form efficiency in the returns of one of the largest stock markets in the Middle East and North Africa; the Saudi Stock Exchange (SSE), using a set of highly regarded parametric and nonparametric linear serial dependence tests. Second, it investigates the existence of the day-of-the-week effects. The results indicate that the Saudi Stock Exchange (SSE) returns exhibit significant linear serial dependence. The hypothesis of market efficiency has been strongly rejected based on the results from the linearity tests. Thus, a conclusion has been reached that the Saudi stock Exchange is inefficient in the weak-form of the Efficient Market Hypothesis (EMH). The results also show evidence of day-of-the-week effects in the Saudi Stock Exchange, both in mean (returns) and variance (volatility) equation.

The aim of this paper is twofold: first, it investigates the existence of the random walk hypothe... more The aim of this paper is twofold: first, it investigates the existence of the random walk hypothesis (RWH) by testing the weak-form efficiency in the returns of one of the largest stock markets in the Middle East and North Africa; the Saudi Stock Exchange (SSE), using a set of highly regarded parametric and nonparametric linear serial dependence tests. Second, it investigates the existence of the day-of-the-week effects. The results indicate that the Saudi Stock Exchange (SSE) returns exhibit significant linear serial dependence. The hypothesis of market efficiency has been strongly rejected based on the results from the linearity tests. Thus, a conclusion has been reached that the Saudi stock Exchange is inefficient in the weak-form of the Efficient Market Hypothesis (EMH). The results also show evidence of day-of-the-week effects in the Saudi Stock Exchange, both in mean (returns) and variance (volatility) equation.

The aim of this paper is twofold: first, it investigates the existence of the random walk hypothe... more The aim of this paper is twofold: first, it investigates the existence of the random walk hypothesis (RWH) by testing the weak-form efficiency in the returns of one of the largest stock markets in the Middle East and North Africa; the Saudi Stock Exchange (SSE), using a set of highly regarded parametric and nonparametric linear serial dependence tests. Second, it investigates the existence of the day-of-the-week effects. The results indicate that the Saudi Stock Exchange (SSE) returns exhibit significant linear serial dependence. The hypothesis of market efficiency has been strongly rejected based on the results from the linearity tests. Thus, a conclusion has been reached that the Saudi stock Exchange is inefficient in the weak-form of the Efficient Market Hypothesis (EMH). The results also show evidence of day-of-the-week effects in the Saudi Stock Exchange, both in mean (returns) and variance (volatility) equation.

The aim of this paper is twofold: first, it investigates the existence of the random walk hypothe... more The aim of this paper is twofold: first, it investigates the existence of the random walk hypothesis (RWH) by testing the weak-form efficiency in the returns of one of the largest stock markets in the Middle East and North Africa; the Saudi Stock Exchange (SSE), using a set of highly regarded parametric and nonparametric linear serial dependence tests. Second, it investigates the existence of the day-of-the-week effects. The results indicate that the Saudi Stock Exchange (SSE) returns exhibit significant linear serial dependence. The hypothesis of market efficiency has been strongly rejected based on the results from the linearity tests. Thus, a conclusion has been reached that the Saudi stock Exchange is inefficient in the weak-form of the Efficient Market Hypothesis (EMH). The results also show evidence of day-of-the-week effects in the Saudi Stock Exchange, both in mean (returns) and variance (volatility) equation.

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