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Testing
Market Efficiency in the United Arab Emirates and Kuwait
(2015)
This
dissertation studied the developing and continuously growing stock
market in the United Arab Emirates and Kuwait. It tested for the
efficiency of these markets by analysing stock returns, and testing
them for the existence of the holiday effect; a well-documented
calendar anomaly. In order to compare the results with that of
different regions, the markets in the United Kingdom and the United
States of America were also examined. The presence of the holiday
effect was proven in the dissertation, through the use of the GARCH
(1,1) model. This effect was particularly observed in the case of the
religious holidays, and more considerably in the pre-holiday period.
But this is not always the case as some holiday, in particular regions,
showed no signs of a holiday effect. Furthermore the whole magnitude of
the holiday effect is not solely caused by the domestic culture,
religion and society, but also by the overall characteristics of the
participants in the market. The dissertation also highlighted the role
that behavioural finance plays in this field, and the need for more
research in order to further understand the intricate world of finance.
The focus of this study will be to investigate semi-strong market
efficiency in the United Arab Emirates and Kuwait, by testing the
Holiday effect.
The study will aim to:
- Critically
review and asses the available academic literature surrounding the
efficient market hypothesis, and more precisely The Holiday Effect.
- Extract
historical stock price data, ranging from 2006 to 2012, and synthesize
a methodological technique to empirically test the Holiday Effect in
the UAE and Kuwait, and compare and contrast those results to other
tested markets.
- Critically
analyse the results, and draw a conclusion on the existence of the
holiday effect, and underline the academic contribution made through
this dissertation.
- 16,000 words - 54
pages in length
- Excellent
use of literature
- Excellent
use of finance models
- Well
written throughout
- Ideal
for finance students
1: Introduction
Overview
Aims
Scope
Importance
Structure
2: The Holidays
Eid Al Fitr
Christmas Day
New Year
3: Literature Review
Efficient market
hypothesis
Different forms
of hypothesis
Calendar Anomalies
Holiday Effect
Holiday effect by
region
Central and
Eastern European (CEE) region
Singapore
New Zealand
Australia
United States of
America and United Kingdom
United Arab
Emirates and Kuwait
Development of
Technology: Algorithmic Trading
Behavioural
Finance
4: Data and
Methodology
Data Collection
Methodology
Limitations in
Data Collection and Methodology
5: Results and
Discussion
Eid Al Fitr
New Year
Christmas Holiday
Sum up of Results
6: Conclusion
7: Limitations and
Recommendations
8: Area of Further
Research
References
Appendices
1. Select reference number fin0047
from the dropdown list
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