Date of Award

Spring 5-2015

Document Type

Thesis

Degree Name

Master of Science in Finance

Department

Finance

First Advisor

Dr. James W. Boyd

Second Advisor

Dr. John Loughlin

Third Advisor

Robert E. Allen, D.B.A.

Abstract

The following research paper is the first research to concentrate its focus primarily on the testing of the Dubai Financial Market (DFM) for weak form of efficiency. In order to obtain best results, the Random Walk model is be used to determine whether closing prices in the DFM are reflecting historical prices. The Autocorrelation Test, Runs Test and Variance Ratio Test will be used to determine whether the Random Walk theory is applicable to the DFM General Index. A number of research studies that have focused on detecting weak forms of efficiency have used the Random Walk model and the previously mentioned tests. In order to obtain best results this study used similar models and tests. Data that is used in this research work consists of daily closing prices from the time period of 8/14/2008 to 7/24/2014. Results of the following research indicate that Dubai Financial Market General Index is weakly inefficient.

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