In this paper, we investigate whether oil risk is priced in selected emerging markets of the Middle East region—in particular, oil-producing countries. Given that these countries have maintained fixed exchange rates against the U.S. dollar, we are able to modify the multivariate GARCH...

Purpose – The purpose of this paper is to investigate the efficiency of the emerging stock markets in the Middle Eastern countries. Design/methodology/approach – The paper investigates the validity of the random walk hypothesis (RWH) and tests for calendar effects in five major Middle...

Purpose – The purpose of this paper is to investigate the efficiency of the emerging stock markets in the Middle Eastern countries. Design/methodology/approach – The paper investigates the validity of the random walk hypothesis (RWH) and tests for calendar effects in five major Middle...