Stock market inefficiency has important implications for both investors and authorities. In an inefficient market investors should doubt the strategy quot;hold-the-marketquot; and adopt the strategy quot;beat-the-marketquot; to pickup the winners. In the mean while the authorities on their part...

Market efficiency has influence on the investment strategy of investors because if a market is efficient no one can benefit from information advantage as there is no consistently under performing securities while they deserve higher prices. On the other hand, if a market is inefficient there is...

The purpose of this paper is to evaluate the cost of deposit insurance premium and assess moral hazard behaviour in the banking sector in Sudan. The analysis of moral hazard in this paper is based on two types of risks, credit risk, and technical efficiency risk (managerial efficiency). The...

Using time-varying systematic risk model, the paper estimates risk in a number of stock markets in the Gulf Cooperation Council (GCC) countries, including Saudi, Kuwait, Dubai and Abu-Dhabi markets. The results in the paper indicate that Saudi market is the most perilous in the group, as it...

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most...

Given the change in oil price reflects change in observable economic fundamentals of Gulf Co-operation Council (GCC) economies, in this paper non-parametric co-integration and variance bound tests are employed to decompose volatility into fundamental and non-fundamental components. Findings of...

This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the...

This paper investigates the short and long-term determinants of Gulf Cooperation Council (GCC) stock markets' volatility. Since GCC countries are major suppliers of oil in world energy markets, their stock markets are likely to be susceptible to change in oil prices. Given that change in oil...

In this paper, a forecast of conditional volatility in Saudi, Kuwait and Abu-Dhabi markets is performed. To capture the skewness and excess kurtosis that characterise asset returns in Gulf Cooperation Council markets, the conditional volatility of asset returns was estimated using skewed...