An Application of the Weak Form of the Efficiency Hypothesis on the Saudi Arabia Stock Market after Tadawul

Abstract

The aim of this study is to test the efficiency of the Saudi Stock Market (SSM) after “Tadawul” (the entity responsible for operating the SSM). The weak form of the efficiency theory was applied to test the SSM efficiency. The SSM daily stock price returns index was examined using autocorrelation and the run test of randomness from January 1^st 2007 to March 18^th 2007 (before Tadawul) and from March 19^th 2007 to May 29^th 2007 (after Tadawul). The results suggest more investigation to be done on the SSM behavioral finance and under reaction and overreaction split to confirm the SSM “efficiency”