Al-Ajmi, Mesfer M. M. M. (1994) Gulf equity markets : a comparison of the structure and performance. PhD thesis, University of Warwick.

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Abstract

The present study extends the literature available on the equity markets of
developing countries by describing the development, the structure and by
investigating the performance of the Gulf Equity markets in Kuwait, Saudi
Arabia, Bahrain and Oman.
First, an attempt was made to evaluate these equity markets by briefly
examining the financial systems, providing a historical background to their
development and introducing their current structure.
Second, the thesis examines the performance of these markets by; (a)
conducting a survey interviews to find out the obstacles for growth and
investments in these markets; (b) investigating whether share returns are
independent (c) investigating whether successive share returns are random
(d) examining whether there is any pattern, for instance, day-of-the -week
effect on the share returns; (e) estimating their transaction costs (the
effective bid-ask spread).
To analyse the performance, the study employed the classical techniques of
Fama (1965), Errunza and Losoq (1985) and Dickinson and Muragu (1994)
to determine the independency and randomness of share returns. The
method of French (1980), Solnik and Bousquet (1990) and Insup Lee et al
(1990) is used to test for the day-of-the week effect. Roll (1984) and Hsia,
Fuller and Kao (1994) methods were used to estimate the transaction costs
(the effective bid-ask spread).
To summarise, the results show that the Gulf Equity Markets have a
dependency on their share returns for Kuwait, Saudi Arabia, Bahrain and a
lesser dependency for Oman Market. On the other hand, the share returns on
each of the four markets were shown to be non random. The day of the week
effect was not found in the market of Kuwait, Bahrain and Oman, whereas the
Saudi Market showed the day-of-the week effect in the two periods tested.
The spread as measured by the modified method of Hsia et al. is consistent
with the results given by the Roll method which found the highest average
spread in the Saudi Market followed by the Bahrain, Kuwait and Muscat
markets.

Item Type:	Thesis or Dissertation (PhD)
Subjects:	H Social Sciences > HC Economic History and Conditions
Library of Congress Subject Headings (LCSH):	Stock exchanges -- Persian Gulf States, Persian Gulf States -- Economic conditions
Official Date:	October 1994
Dates:	Date Event October 1994 Submitted
Institution:	University of Warwick
Theses Department:	Warwick Business School
Thesis Type:	PhD
Publication Status:	Unpublished
Supervisor(s)/Advisor:	Steele, Anthony ; Broyles, J. E. ; Diacogiannis, George
Extent:	xiii, 363 leaves
Language:	eng

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