مجال
التميز
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تميز دراسي وبحثي
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البحوث المنشورة
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البحث (1):
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عنوان البحث:
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Testing the Weak-Form of Efficient Market
Hypothesis and the Day-Of-The-Week Effect in Saudi Stock Exchange: Linear
Approach
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رابط إلى البحث:
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Click here
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تاريخ النشر:
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30 Sep 2012
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موجز عن البحث:
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The aim of this paper is twofold: first, it
investigates the existence of the random walk hypothesis (RWH) by testing the
weak-form efficiency in the returns of one of the largest stock markets in
the Middle East and North Africa; the Saudi Stock Exchange (SSE), using a set
of highly regarded parametric and nonparametric linear serial dependence
tests. Second, it investigates the existence of the day-of-the-week effects.
The results indicate that the Saudi Stock Exchange (SSE) returns exhibit
significant linear serial dependence. The hypothesis of market efficiency has
been strongly rejected based on the results from the linearity tests. Thus, a
conclusion has been reached that the Saudi stock Exchange is inefficient in
the weak-form of the Efficient Market Hypothesis (EMH). The results also show
evidence of day-of-the-week effects in the Saudi Stock Exchange, both in mean
(returns) and variance (volatility) equation.
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المؤتمرات العلمية:
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المؤتمر (1):
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عنوان المؤتمر:
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2014
Conference of the Financial Engineering & Banking Society (F.E.B.S)
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تاريخ الإنعقاد:
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21 – 23
June 2014
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مكان
الإنعقاد:
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Guildford, UK
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طبيعة المشاركة:
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Oral presentation
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عنوان المشاركة:
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Mergers and Acquisitions Performance in
Gulf Corporation Council (GCC) Banking Industry
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ملخص المشاركة:
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This paper aims at providing an assessment
of the impact of Banks’ Merger and Acquisition activities on shareholder
value in GCC banking industry. Using a battery of parametric and
nonparametric tests, the study analyses stock market reaction for banks
involved in M&As over different time horizons around the announcement of
the deal following three event study methodologies; Adjusted Market Model,
GARCH (1,1) and EGARCH (1,1). The study went further beyond analysing stock
market reaction to analyse the accounting and economic performance of the
banks involved in M&A prior the transaction and compare these parameters
with performance after the transaction, as well as examine the strategic
similarities of banks involved and its impact on merging banks performance.
The study provides banks’ stakeholders and regulatory authorities with a
detailed view of how M&A activities impact the value of shareholders
under the on-going process of deregulation and financial integration in the
GCC region. In addition, the study makes a significant contribution by
filling the gap in the extant limited literature on M&A in Emerging
Markets in general and the GCC markets in particular.
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المؤتمر (2):
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عنوان المؤتمر:
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IMAGES Research Student Conference
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تاريخ الإنعقاد:
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11 June 2014
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مكان
الإنعقاد:
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Robert
Gorden University, UK
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طبيعة المشاركة:
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Oral presentation
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عنوان المشاركة:
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Bank Efficiency and Shareholder value
Creation: Saudi Arabia Banking Sector
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ملخص المشاركة:
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This paper examines the
efficiency of bank’s performance and its role in creating shareholder value
in Saudi Arabia banking sector. To measure Bank efficiency, the study applied
the nonparametric Data Envelopment Analysis (DEA) evaluation methods. In
addition, the study adopted value-added approach. The overall results show
that conventional commercial outperform Islamic banks during political
crisis, whereas the opposite occurs during financial crisis. To the best of
researcher’s knowledge, this is the first study is to adopt value-added
approach to examine the efficiency of banking sector in Saudi Arabia.
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المؤتمر (3):
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عنوان المؤتمر:
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Young Finance Scholars’ Conference
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تاريخ الإنعقاد:
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May 2014
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مكان
الإنعقاد:
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University
of Sussex, UK
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طبيعة المشاركة:
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Poster presentation
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عنوان المشاركة:
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Efficiency and Shareholder value Creation
in Gulf Cooperation Council (GCC) Banking Sector
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ملخص المشاركة:
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This poster illustrates the investigation
of the random walk hypothesis (RWH) existence by testing the weak-form
efficiency in the returns of GCC markets and banking indices, using a set of
highly regarded linear and nonlinear serial dependence tests. In addition, it
attempts to validate the weak-form of the Efficient Market Hypothesis (EMH)
based on nonlinear serial dependence tests after removing linearity effects
from all data series. The results indicate that GCC markets and banking
returns exhibit significant nonlinear serial dependence besides linear
dependence. The source of nonlinear serial dependence has been attributed to
nonlinear serial dependence in the conditional variance. As a result, the
hypothesis of market efficiency has been strongly rejected based on the
results from the nonlinear dependence tests, as it does from the results of
linearity tests. Therefore, a conclusion has been reached that GCC markets
are inefficient in the weak-form of the Efficient Market Hypothesis (EMH).
Nonetheless, the markets need to be studied further with different sample,
time series, and other tests to verify market efficiency and
nonlinearity.
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المؤتمر (4):
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عنوان المؤتمر:
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4th
International Business and Social Science Research Conference
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تاريخ الإنعقاد:
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5 – 7
January 2012
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مكان
الإنعقاد:
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Dubai, UAE
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طبيعة المشاركة:
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Oral Presentation
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عنوان المشاركة:
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Linear and Nonlinear Serial Dependence in
Saudi Stock Market: Testing the Weak-Form of the Efficient Markets Hypothesis
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ملخص المشاركة:
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This paper investigates the existence of Linear
and nonlinear serial dependence in the returns of one of the largest stock
markets in the Middle East and North Africa; the Saudi Stock Exchange (SSE),
using set of highly regarded non/linear serial dependence tests. In addition,
it attempts to validate the weak-form of the Efficient Market Hypothesis
(EMH) based on nonlinear serial dependence tests after removing linearity
effects from all of the data series. The results indicate that the Saudi
Stock Exchange (SSE) returns exhibit significant nonlinear serial dependence
in addition to the linear dependence. The source of nonlinear serial
dependence in the Saudi stock market returns has been attributed to nonlinear
serial dependence in the conditional variance. The hypothesis of market
efficiency has been strongly rejected based on the results from the nonlinear
dependence tests, as it does from the results of linearity tests. Therefore,
a conclusion has been reached that the Saudi stock market is inefficient in
the weak-form of the Efficient Market Hypothesis (EMH).
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المؤتمر (5):
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عنوان المؤتمر:
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5Th Saudi Student Conference
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تاريخ الإنعقاد:
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23 – 26
June 2011
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مكان
الإنعقاد:
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University of Warwick, Coventry, UK
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طبيعة المشاركة:
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Oral Presentation
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عنوان المشاركة:
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Linear Serial Dependence in Saudi Stock
Market: Testing the Weak-Form of the Efficient Markets Hypothesis
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ملخص المشاركة:
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The paper investigates linearity in the
returns of one of the largest stock markets in the Middle East and North
Africa; the Saudi Stock Exchange (SSE), using set of highly regarded linear serial
dependence tests. In addition, it attempts to validate the weak-form of the
Efficient Market Hypothesis (EMH) based on both linear and nonlinear serial
dependence tests. From the literature of linearity, three standard tests have
been used in this study include; Autocorrelation Function (ACF) test,
Ljung-Box Q statistic test, and the runs test. The purpose of choosing these
tests is due to their reputation and extensive used in the literature of
market efficiency. The results indicate that the Saudi Stock Exchange (SSE)
returns exhibit significant linear serial dependence and reject market efficiency.
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المؤتمر (6):
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عنوان المؤتمر:
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6th Saudi Student Conference
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تاريخ الإنعقاد:
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11 – 14
October 2012
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مكان
الإنعقاد:
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University
of Brunel, London, UK
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طبيعة المشاركة:
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Oral Presentation
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عنوان المشاركة:
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Nonlinear Serial Dependence in Saudi Stock Market:
Testing the Weak-Form of the Efficient Market Hypothesis
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ملخص المشاركة:
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This paper investigates the existence of
nonlinear serial dependence in the returns of the Saudi Stock Exchange (SSE),
using a set of highly regarded nonlinear serial dependence tests. In
addition, it attempts to validate the weak-form of the Efficient Market
Hypothesis (EMH). The results indicate that the Saudi Stock Exchange (SSE)
returns exhibit significant nonlinear serial dependence in addition to the
linear serial dependence. In addition, the source of nonlinear serial
dependence in the Saudi stock market returns has been attributed to nonlinear
serial dependence in the conditional variance. Hence, market efficiency has
been strongly rejected in the weak-form.
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المؤتمر (7):
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عنوان المؤتمر:
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7th
Saudi Student Conference
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تاريخ الإنعقاد:
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1 – 2
February 2014
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مكان
الإنعقاد:
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Edinburgh, UK
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طبيعة المشاركة:
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Oral Presentation
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عنوان المشاركة:
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Nonlinear
Serial Dependence in GCC Stock Markets: Testing the Weak-Form of the
Efficient Market Hypothesis
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ملخص المشاركة:
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This paper investigates the existence of nonlinear
serial dependence in the returns of GCC Banking and Market returns using a
set of highly regarded nonlinear serial dependence tests. The findings
exhibit significant nonlinear serial dependence in GCC markets. In addition,
the source of nonlinear serial dependence has been attributed to nonlinear
serial dependence in the conditional variance. Accordingly, The hypothesis of
market efficiency has been strongly rejected in the week-form of EMH.
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جوائز التكريم:
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الجائزة (1):
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مسمى الجائزة:
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Best Paper Award certificate 4th IBSSRC
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الجهة المانحة:
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World
Business Institution
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تاريخ الجائزة:
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07 Jan 2012
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مجال التكريم:
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Linear and Nonlinear Serial Dependence in
Saudi Stock Market: Testing the Weak-Form of the Efficient Markets Hypothesis
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الجائزة (2):
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مسمى الجائزة:
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Best Paper Presentation Award
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الجهة المانحة:
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IMAGES Graduate School- RGU
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تاريخ الجائزة:
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11 Jun 2014
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مجال التكريم:
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Bank Efficiency and Shareholder value
Creation: Saudi Arabia Banking Sector
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الجائزة (3):
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مسمى الجائزة:
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Best Paper/Presentation Award
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الجهة المانحة:
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5Th Saudi Student Conference
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تاريخ الجائزة:
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2011 – 2012
– 2014
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مجال التكريم:
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Linear Serial Dependence in Saudi Stock
Market: Testing the Weak-Form of the Efficient Markets Hypothesis
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الجائزة (4):
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مسمى الجائزة:
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Best Paper/Presentation Award
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الجهة المانحة:
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7th
Saudi Student Conference
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تاريخ الجائزة:
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2011 – 2012
– 2014
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مجال التكريم:
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Nonlinear
Serial Dependence in GCC Stock Markets: Testing the Weak-Form of the
Efficient Market Hypothesis
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