Testing the Weak-Form Efficiency of the United Arab Emirates Stock Market (Company Overview‪)‬

ABSTRACT This study examines the behavior of stock prices in United Arab Emirates (UAE) stock market. The data consist of the daily prices of the 43 stocks included in the Emirates market index covering the period commencing October 2, 2001 through September 1, 2003. The returns of all the 43 sample stocks do not follow the normal distribution, so the study utilizes only the nonparametric runs to test for randomness. The results reveal that the returns of 40 stocks out of the 43 are random at a 5% level of significance. Hence, the empirical study supports the weak-form EMH of UAE stock market.