Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach

Besma Hkiri; Azza Béjaoui; Cheima Gharib; Hashem A AlNemer

doi:10.1016/j.heliyon.2021.e08028

Revisiting efficiency in MENA stock markets during political shocks: evidence from a multi-step approach

Heliyon. 2021 Sep 22;7(9):e08028. doi: 10.1016/j.heliyon.2021.e08028. eCollection 2021 Sep.

Authors

Besma Hkiri^{1

2}, Azza Béjaoui³, Cheima Gharib⁴, Hashem A AlNemer⁵

Affiliations

¹ College of Business, University of Jeddah, Jeddah, Saudi Arabia.
² Higher Institute of Management, University of Carthage, Tunisia Faculty of Economics and Management of Tunis, International Finance Group Lab., University of Tunis El Manar, Tunisia.
³ Higher Institute of Management, Tunis University, Tunisia.
⁴ Laboratoire Interdisciplinaire des Environnements Continentaux (LIEC), UMR 7360 CNRS / Université de Lorraine, Bâtiment IBiSE - Campus Bridoux - 8 rue du Général Delestraint, F-57070, METZ, France.
⁵ Associate Professor of Finance & Insurance- College of Business, University of Jeddah, Jeddah, Saudi Arabia.

Abstract

In this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence of multifractality and anti-persistent movements of returns, implying a departure from the weak-form efficiency hypothesis. We also show that the political events adversely affect the efficiency degree of most markets. The empirical results clearly display the dynamic behavior of market efficiency. These findings are in line with the implications of the Adaptive Market Hypothesis.

Keywords: Adaptive market hypothesis; Arab spring; Emerging markets; MF-DFA; Market efficiency; Multifractality; WTMM.