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The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets

Francesco Scalamonti

Quantitative Finance and Economics2025https://doi.org/10.3934/qfe.2025022article
AJG 1
Weight
0.44

What the paper says

In this study, we examined efficient market hypothesis (EMH) in the weak form over the period 2011–2020 for five South-Eastern Mediterranean countries (MEDA), with complete time-series: Egypt, Israel, Jordan, Morocco, and Turkey. Therefore, we contributed to the limited literature on MEDA transitional economies and provided preliminary and exploratory evidence based on macroeconomic data. Different classical statistical approaches have been used to analyze variations in time-series of the average annual turnover ratio, chosen as an indirect proxy for market returns and used to compute the market spread (Sm), including unit root and variance ratio tests, as well as the Hurst exponent and AR(1) models. Our outcomes revealed that tests and models reject the weak-form EMH for the MEDA capital markets in question. This result may be due to inefficiencies and predictability of MEDA capital markets, such as institutional, regulatory, and information lacks, amplified by exogenous shocks, such as the 'Arab Springs' and the global pandemic crisis, occurring in the decade considered.

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https://doi.org/https://doi.org/10.3934/qfe.2025022

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@article{francesco2025,
  title        = {{The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets}},
  author       = {Francesco Scalamonti},
  journal      = {Quantitative Finance and Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.3934/qfe.2025022},
}

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The weak-form efficient markets hypothesis: Macroeconomic evidence from MEDA capital markets

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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