THE 2008 FINANCIAL CRISIS AND THE EMH: EVIDENCE FROM MSM

Abstract

Abstract This paper examines the weak-form market efficiency of the Muscat Securities Market (MSM) in If the market at any stage is efficient, given the weak form, the conclusion is that past information is fully reflected in stock prices. Given a lack of research on the effect of the financial crisis on stock markets, the motivation for this research is to add research to the literature to fill the gap. Moreover, this paper aims to study the efficiency of the market at three different stages, in order to investigate whether the behavior of investors in the stock market changed during each period; pre-crisis, crisis and post-crisis. Efficiency is to be measured using the runs test (Lim, Brooks and Kim, 2008). The aim of the authors is to find new evidence on the weak form market efficiency in Muscat Securities Market during the 2008 financial crisis. Section 2 and 3 presents the literature review and overview of Muscat Securities Market, respectively. Section 4 addresses the hypothesis and section 5 presents the data and methodology used in this study. Section 6 outlines the statistical and empirical results and the conclusion in section 7