Mariana Chambino – ESCE, Polytechnic Institute of Setúbal, Portugal

Nicole Horta – ESCE, Polytechnic Institute of Setúbal, Portugal

Rui Dias – ESCE, Polytechnic Institute of Setúbal, Portugal; Center for Studies and Advanced Training in Management and Economics (CEFAGE), University of Évora, Portugal

MENA markets;
Variance ratios;
Random walk;


Abstract: This research aims to provide evidence for investors and regula­tors of the MENA stock markets, including Bahrain (BASI), Egypt (EGX 30), Abu Dhabi (FTSE ADX), Pakistan (KSE 100), Morocco (MASI), Oman (MSM 30), Qatar (QSE), Saudi Arabia (TADAWUL ALL), and Tunisia (TUNNIDEX), from March 1, 2018, to February 23, 2023. Because variance ratios are less than one, the results show that indexes do not follow the random walk hypoth­esis (RWH), suggesting autocorrelation in returns over time and average re­versal in all indexes. These findings refute both the RWH and the financial market information efficiency hypothesis. According to the study, market regulators should take initiatives to improve information in these regional markets.

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7th International Scientific Conference – EMAN 2023 – Economics and Management: How to Cope With Disrupted Times, Ljubljana, Slovenia, March 23, 2023, SELECTED PAPERS, published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-70-7, ISSN 2683-4510, DOI:

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Suggested citation
Chambino, M., Horta, N., & Dias, R. (2023). Market Predictability and Mean Reversion in MENA Markets: An Empirical Study of Equity Market Efficiency. In V. Bevanda (Ed.), International Scientific Conference – EMAN 2023: Vol 7. Selected Papers (pp. 19-33). Association of Economists and Managers of the Balkans.


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