Testing the evolving efficiency of Arab stock markets

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Efficient Capital Markets: A Review of Theory and Empirical Work

1970 • 10,493 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

ARCH modeling in finance

1992 • 4,478 citations

Modeling and Forecasting Realized Volatility

2003 • 3,810 citations

Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test

1988 • 3,715 citations

Forecasting Volatility in Financial Markets: A Review

2003 • 1,385 citations

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics

2001 • 1,156 citations

Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE

1996 • 1,096 citations

Liquidity Provision with Limit Orders and a Strategic Specialist

1997 • 543 citations

A simple multiple variance ratio test

1993 • 508 citations

Alternative Variance-Ratio Tests Using Ranks and Signs

2000 • 342 citations

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

1994 • 322 citations

Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model

1998 • 241 citations

Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia

1992 • 231 citations

Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets

2002 • 206 citations

THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS

2005 • 187 citations

Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market

1997 • 178 citations

Efficiency in emerging markets—Evidence from the MENA region

2006 • 163 citations

Alternative Variance-Ratio Tests Using Ranks and Signs

2000 • 142 citations

The Value of the Designated Market Maker

2007 • 142 citations

A Time Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies

2001 • 128 citations

Emerging Equity Markets in Middle Eastern Countries

1995 • 115 citations

The Evolution of Stock Markets in Transition Economies

2000 • 107 citations

Examining the first stages of market performance: a test for evolving market efficiency

1999 • 100 citations

Whence GARCH? A Preference-Based Explanation for Conditional Volatility

2004 • 82 citations

Modelling stock returns in Africa's emerging equity markets

2009 • 79 citations

Untitled

1997 • 79 citations

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage-Induced or Statistical Illusion?

1994 • 65 citations

A non-parametric assessment of weak-form efficiency in the UAE financial markets

2006 • 59 citations

Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market

2004 • 52 citations

The Egyptian Stock Market: Efficiency Tests and Volatility Effects

1999 • 51 citations

Testing Weak-Form Efficiency of the Russian Stock Market

2002 • 48 citations

Testing weak‐form efficiency in the Bahrain stock market

2008 • 47 citations

How Best to Supply Liquidity to a Securities Market

1996 • 45 citations

China: Further Evidence on the Evolution of Stock Markets in Transition Economies

2003 • 44 citations

Stock market efficiency

1983 • 44 citations

Transition, the Evolution of Stock Market Efficiency and Entry into EU: The Case of Romania

2004 • 35 citations

Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market

2004 • 33 citations

Why Designate Market Makers? Affirmative Obligations and Market Quality

2011 • 33 citations

The Egyptian Stock Market: Efficiency Tests and Volatility Effects

1999 • 33 citations

Testing the Weak-Form Efficiency of the Palestinian Securities Market

2009 • 31 citations

Equity Trading Systems in Europe: A Survey of Recent Changes

2000 • 30 citations

Price limits and stock market efficiency: Evidence from rolling bicorrelation test statistic

2007 • 26 citations

Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations

2007 • 17 citations

Paying for Market Quality

2005 • 16 citations

Electronic Trading and Market Efficiency in an Emerging Market: The Case of the Jordanian Capital Market

2005 • 15 citations

Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter

2008 • 14 citations

Testing Weak-Form Efficiency of Saudi Stock Exchange Market

2004 • 13 citations

Electronic Trading and Market Efficiency in an Emerging Market:
 The Case of the Jordanian Capital Market

2003 • 12 citations

Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits

2003 • 10 citations

Modeling the Egyptian Stock Market Volatility Pre- and Post Circuit Breaker

2004 • 8 citations

The Value of the Designated Market Maker

2005 • 7 citations

Equity Trading Systems in Europe

1999 • 7 citations

GCC stock markets at risk

2006 • 3 citations