Predictable returns in an emerging stock market: Evidence from Qatar

This article investigates the performance of moving-average strategies and tests the validity of the weak form of the Efficient Market Hypothesis (EMH) for the Qatari Stock Exchange (QSE). This study uses statistical analyses and adopts the version of the variable moving-average rule where buy and s...

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Autor principal:	Hesham I. Almujamed
Formato:	article
Lenguaje:	EN
Publicado:	Taylor & Francis Group 2018
Materias:	accounting information autocorrelation tests runs test moving average strategies trading rules technical analysis market efficiency emerging markets capital markets disclosure qatar Business HF5001-6182 Management. Industrial management HD28-70
Acceso en línea:	https://doaj.org/article/cd56fff0caa34460b6f3a9d25b35c74c
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spelling	oai:doaj.org-article:cd56fff0caa34460b6f3a9d25b35c74c2021-12-02T14:35:48ZPredictable returns in an emerging stock market: Evidence from Qatar2331-197510.1080/23311975.2018.1497573https://doaj.org/article/cd56fff0caa34460b6f3a9d25b35c74c2018-01-01T00:00:00Zhttp://dx.doi.org/10.1080/23311975.2018.1497573https://doaj.org/toc/2331-1975This article investigates the performance of moving-average strategies and tests the validity of the weak form of the Efficient Market Hypothesis (EMH) for the Qatari Stock Exchange (QSE). This study uses statistical analyses and adopts the version of the variable moving-average rule where buy and sell signals are generated by comparing a share price’s short- and long-term moving averages. The data include the daily closing share prices of 44 Qatari-listed companies for the period 2004–2017. The analysis shows that the QSE is not weak form efficient because patterns and trends are present in share prices. Sectoral analyses suggest that securities in consumer goods and services, industrials and insurance are the most efficiently priced on the QSE. The evidence suggests that profitability depends on the moving-average strategy selected. The findings may thus benefit technical analysts, fund managers, accountants and academics. This study is one of the first to examine the market efficiency of the QSE using trading rules. This research also suggests the possibility of limited transparency and accounting disclosure in the QSE, which may help policy-makers devise regulations that could improve the QSE’s efficiency.Hesham I. AlmujamedTaylor & Francis Grouparticleaccounting informationautocorrelation testsruns testmoving average strategiestrading rulestechnical analysismarket efficiencyemerging marketscapital marketsdisclosureqatarBusinessHF5001-6182Management. Industrial managementHD28-70ENCogent Business & Management, Vol 5, Iss 1 (2018)
institution	DOAJ
collection	DOAJ
language	EN
topic	accounting information autocorrelation tests runs test moving average strategies trading rules technical analysis market efficiency emerging markets capital markets disclosure qatar Business HF5001-6182 Management. Industrial management HD28-70
spellingShingle	accounting information autocorrelation tests runs test moving average strategies trading rules technical analysis market efficiency emerging markets capital markets disclosure qatar Business HF5001-6182 Management. Industrial management HD28-70 Hesham I. Almujamed Predictable returns in an emerging stock market: Evidence from Qatar
description	This article investigates the performance of moving-average strategies and tests the validity of the weak form of the Efficient Market Hypothesis (EMH) for the Qatari Stock Exchange (QSE). This study uses statistical analyses and adopts the version of the variable moving-average rule where buy and sell signals are generated by comparing a share price’s short- and long-term moving averages. The data include the daily closing share prices of 44 Qatari-listed companies for the period 2004–2017. The analysis shows that the QSE is not weak form efficient because patterns and trends are present in share prices. Sectoral analyses suggest that securities in consumer goods and services, industrials and insurance are the most efficiently priced on the QSE. The evidence suggests that profitability depends on the moving-average strategy selected. The findings may thus benefit technical analysts, fund managers, accountants and academics. This study is one of the first to examine the market efficiency of the QSE using trading rules. This research also suggests the possibility of limited transparency and accounting disclosure in the QSE, which may help policy-makers devise regulations that could improve the QSE’s efficiency.
format	article
author	Hesham I. Almujamed
author_facet	Hesham I. Almujamed
author_sort	Hesham I. Almujamed
title	Predictable returns in an emerging stock market: Evidence from Qatar
title_short	Predictable returns in an emerging stock market: Evidence from Qatar
title_full	Predictable returns in an emerging stock market: Evidence from Qatar
title_fullStr	Predictable returns in an emerging stock market: Evidence from Qatar
title_full_unstemmed	Predictable returns in an emerging stock market: Evidence from Qatar
title_sort	predictable returns in an emerging stock market: evidence from qatar
publisher	Taylor & Francis Group
publishDate	2018
url	https://doaj.org/article/cd56fff0caa34460b6f3a9d25b35c74c
work_keys_str_mv	AT heshamialmujamed predictablereturnsinanemergingstockmarketevidencefromqatar
_version_	1718391099133788160

Predictable returns in an emerging stock market: Evidence from Qatar

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