QUARTERLY REVIEW OF ECONOMICS AND FINANCE 好投吗-刊鹿论文编译

The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets

Abstract:

Abstract The study examines the dynamic behavior of evolving efficiency in the United Arab Emirates (UAE) stock markets (i.e. the Dubai Financial Market (DFM) and the Abu Dhabi Stock Exchange (ADSE)) within four subsamples representing four key timeframes: prior to the 2008 global financial crisis (GFC), during the GFC, the Arab uprising crisis (AUC) and the 2014 oil prices crisis (OPC). On the empirical level, the modified logperiodogram (MLP) fractional differencing semi-parametric method is used to measure evolving efficiency. We find that the DFM and ADSE exhibit evidence of evolving efficiency. Both markets are found to be generally inefficient with a trend of improvement towards the weak-form of efficiency. This suggests that stock prices are predictable and possible arbitrage opportunities are present. The study also finds that the evolving efficiency process is: i) time-variant; and ii) exhibits evidence of conditional volatility and volatility persistence. However, we find no evidence of a leverage effect and asymmetric long memory volatility. These findings hold in the full sample and across all subsamples. Finally, we find that the long memory volatility model, in particular FIAPARCH, outperform the GARCH models in long-term, out-of-sample forecasting performance. The study also suggests that shocks resulting from crises do not provide stronger evidence for the dynamic behaviors of evolving efficiency. Our findings are among the foremost criteria for making investment decisions, and can reliably serve the needs of investors in their capital budgeting in order to ideally allocate their investment funds.

Author Listing： Mohammad Al-Shboul;Nizar Mohammad Alsharari

Volume： 73

Pages： 119-135

DOI： 10.1016/J.QREF.2018.05.007

Language： English

Journal： The Quarterly Review of Economics and Finance

QUARTERLY REVIEW OF ECONOMICS AND FINANCE

Q REV ECON FINANC

影响因子：3.1

是否综述期刊：否

是否OA：否

是否预警：不在预警名单内

发行时间：-

ISSN：1062-9769

发刊频率：-

收录数据库：Scopus收录

出版国家/地区：-

出版社：Elsevier

期刊介绍

年发文量	108
国人发稿量	28
国人发文占比	25.5%
自引率	3.2%
平均录取率	-
平均审稿周期	-
版面费	US$1940
偏重研究方向	ECONOMICS-
期刊官网	-
投稿链接	-

质量指标占比

研究类文章占比	OA被引用占比	撤稿占比	出版后修正文章占比
99.07%	13.13%	0.00%	0.00%

预警情况

时间	预警情况
2025年03月发布的2025版	不在预警名单中
2024年02月发布的2024版	不在预警名单中
2023年01月发布的2023版	不在预警名单中
2021年12月发布的2021版	不在预警名单中
2020年12月发布的2020版	不在预警名单中

JCR分区 WOS分区等级：Q1区

版本	按学科	分区
WOS期刊SCI分区（2021-2022年最新版）
	ECONOMICS	Q1

中科院分区

版本	大类学科	小类学科	Top期刊	综述期刊
	经济学 2区	ECONOMICS 经济学 2区	否	否
2021年12月升级版	经济学 3区	ECONOMICS 经济学 3区	否	否
2022年12月最新升级版	经济学 3区	ECONOMICS 经济学 3区	否	否