قابلية التنبؤ بالعوائد كأحد انحرافات الأسواق المالية عن فرضية السوق المالي الكفء : دراسة حالة السوق المالي السعودي للفترة 2007-2017 باستخدام اختبارات نسبة التباين و نموذج ARIMA (n. d. m)‎-GARCH (p. q)‎

الملخص EN

The main aim of this study is to test return predictability of Saudi capital market through past returns, it also aims to propose a model for forecasting market returns.

The study used the daily closing prices of the general index of Saudi capital market (TASI) for the period from 1/9/2007 to 19/10/2017.

The study used the variance ratio tests (Wild bootstrap variance ratio test and Sign- based variance ratio test) to investigate the return predictability.

The study used also a set of tests and criteria to determine the appropriate specifications of the proposed forecasting model ARIMA (n.d.m) -GARCH (p.q).

The study results showed that the returns of the Saudi capital market are predictable and it suggested ARIMA (1.0.1) -GARCH (2.1) model as a model for predicting the returns of Saudi capital market