Open AccessFurther evidence on efficiency of Bahrain Bourse: A high challenge for other industries
Author(s) -
Iqbal Thonse Hawaldar,
Ramona Birău,
Cristi Spulbăr,
Babitha Rohit,
Prakash Pinto,
T M Rajesha,
Fabrizio Di Sciorio
Publication year - 2020
Publication title -
industria textilă
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.281
H-Index - 14
ISSN - 1222-5347
DOI - 10.35530/it.071.05.1732
Subject(s) - inefficiency , autoregressive conditional heteroskedasticity , volatility (finance) , stock market , hurst exponent , econometrics , stock exchange , arch , economics , stock market index , financial economics , stock (firearms) , business , statistics , mathematics , finance , engineering , geography , microeconomics , mechanical engineering , context (archaeology) , civil engineering , archaeology
The purpose of the present study is to provide further evidence of the weak form efficiency of the Bahrain Bourse. Theresearch methodology is based on daily closing index values of the Bahrain Bourse from 2011 to 2015 in order to testthe efficiency of the stock market while runs test, Autocorrelation Function, and advance tools such as ARCH andGARCH models and Hurst Index to provide further evidence of the weak form efficiency of the Bahrain stock market.For instance, a volatile and inefficient stock market has a negative impact on textile and apparel industry in the Kingdomof Bahrain, which is one of the most prosperous and attractive industries in the country. The empirical results revealedthat Bahrain stock market does not follow normal distribution and the successive price changes are not independent.Further, ARCH effect is significant and indicative of a time-varying conditional volatility. There is an arbitrage opportunityand extreme mispricing in the Bahrain stock market as indicated by the GARCH (1,1) model. The results of the Hurstexponent also confirm the inefficiency of the market. The results of these tests are consistent indicating that the Bahrainstock market is inefficient