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| Author: | Al-Khatib, F. Al-Sulaiti, K. Abdulrazak, R. |
| Title: | Testing dynamic dependency behavior of stock prices in the Doha Securities Market |
| Journal: | Journal of International Selling and Sales Management
2005 : AUTUMN, VOL. 11:2, p. 79-90 |
| Index terms: | Expectations Heteroscedasticity Share prices Stock markets |
| Language: | eng |
| Abstract: | The dynamic behaviour of individual shares quoted on the Doha Securities Market (DSM) is investigated in this article. Weekly individual prices over the time span from January 2002 to October 2004 were applied. Robinson's semi-parametric Lagrange Multiplier tests were conducted in search of evidence patterns consistent with long-memory in stock prices. Statistical results did not support the random walk hypothesis, and would seem to lend support for weak-form efficiency in the DSM. |
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