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 Holiday effects.

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 Holiday Effects 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

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
New Zealand
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
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



Testing Market Efficiency The Holiday Effect Dissertation
Testing Market Efficiency Dissertation

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