Using Wright's (2000) nonparametric variance-ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA). After correcting for measurement biases caused by thin and infrequent trading prevalent in nascent...

Using Wright's (2000) new non-parametric variance-ratio (VR) test, we revisit the empirical validity of the random walk hypothesis in eight emerging markets in the Middle East and North Africa (MENA): Bahrain, Egypt, Jordan, Kuwait, Morocco, Oman, Saudi Arabia, and Tunisia. We show that: (i)...