An Analysis of Anomalies Split To Examine Efficiency in the Saudi Arabia Stock Market

Mohammed Hokroh

Abstract


This research continues the investigation of Hokroh (2013) whose work examined the Saudi Stock Market (SSM) efficiency before and after the formation of Tadawul Company (the entity responsible for operating the SSM). The SSM stock price returns index before Tadawul (January 1st 2007 to March 18th2007) and after Tadawul (March 19th 2007 to May 29th2007) in addition to 52 days split of returns from 5/30/2007 to 11/11/2008 were examined to test if anomalies split assumption holds over time. The data was analyzed using: regression, abnormal returns calculation, T-statics test and correlation. The results indicate that the SSM has become informationally more efficient after the formation of “Tadawul” and that the SSM adjust slowly to market information.

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DOI: http://dx.doi.org/10.5296/ijafr.v3i1.3850

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