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Volume :3 Issue : 1 1995      Add To Cart                                                                    Download

Random Walk in Thinly Traded Stock Markets: The Case of Kuwait

Auther : Nabeel E. Al-Loughani

A previous weak-form efficiency study that utilized conventional testing procedures found that the majority of Kuwaiti listed company shares appear to follow a random walk (Butler and Malaikah, 1992). Our study uses weekly market index data and a combination of traditional and modern testing procedures to examine whether the previous results may be sample and/or methodology specific. The results of traditional tests were consistent with previous findings. However, when more robust econometric techniques were employed, the results consistently favored stationarity but not a random walk. Furthermore, the results indicate that the Kuwaiti stock price series are non-linear and can be described by a Generalised Autoregressive Conditional Heteroskedasticity (GARCH) Model.

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