Are emerging MENA stock markets mean reverting? A monte carlo simulation

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dc.contributor.authorNeaime, Simon
dc.contributor.departmentDepartment of Economics
dc.contributor.facultyFaculty of Arts and Sciences (FAS)
dc.contributor.institutionAmerican University of Beirut
dc.date.accessioned2025-01-24T11:23:14Z
dc.date.available2025-01-24T11:23:14Z
dc.date.issued2015
dc.description.abstractWe provide further empirical evidence on the mean reversion hypothesis for ten frontier stock markets in the Middle East and North Africa (MENA) using a battery of panel and time series econometric tests including Monte Carlo simulations. Standard unit root and panel unit root tests indicate that stock prices in the MENA region are not mean reverting which is consistent with the weak form efficient market hypothesis. However, Monte Carlo simulations depict mean reversion in the stock markets of Saudi Arabia, Jordan and Bahrain. © 2015 Elsevier Inc.
dc.identifier.doihttps://doi.org/10.1016/j.frl.2015.03.001
dc.identifier.eid2-s2.0-84928766250
dc.identifier.urihttp://hdl.handle.net/10938/25645
dc.language.isoen
dc.publisherElsevier Ltd
dc.relation.ispartofFinance Research Letters
dc.sourceScopus
dc.subjectMean reversion
dc.subjectMena stock markets
dc.subjectPanel and time series tests
dc.titleAre emerging MENA stock markets mean reverting? A monte carlo simulation
dc.typeArticle

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