Informational efficiency of the Palestine securities exchange (PSE)‎ Evidence form the Information user's view

Dissertant

Shahin, Yasir A.

Thesis advisor

Abd al-Karim, Nasr

Comitee Members

al-Khalayilah, Mahmud
Hamdun, Talal
Gharayibah, Hisham

University

Arab Academy for Financial and Banking Sciences

Faculty

The Faculty of Banking and Financial Sciences

Department

Department of Financial Management

University Country

Jordan

Degree

Ph.D.

Degree Date

2006

English Abstract

The primary objective of this study is to test efficiency of the Palestine Securities Exchange (?SE) in terms of the Composite Index (Al-Quds) for the period July 1997 - June 2006.

A random walk test is performed in the first phase ofthe study to ascertain whether the (PSE) is Weak Form Efficient.

Three widely accepted statistical tests have been used, namely: Auto-Correlation Function (ACF), Variance Ratio (VR) Based on (Lo and Mr.K^ley's 1988), and Runs tests.

Results of this phase show that the market was inefficient within all and partial period samples, even after estimate the true underling index using (Miller.

Muthuswamy and Whaley 1994) approach.

However, the inefficiency manifested itself through the features ofthe market at this period.

In the second phase of the study, the perception of users regarding adequacy and usefttiness of information disclosed in the financial reports of companies listed at the PSE is assessed.

A survey methodology is employed where a well-designed questionnaire was distributed to a selected sample of information users.

The sample included different groups of information external users, i.e.

individual and institutional users, analysts, academics, and intermediaries.

Results ofthe second phase denr،)nstrated that rejection ofthe WFEH is due in part to the perception of users that reported information is neither adequate nor relevant to investment decisions.

Results also show no statistically significant differences in perceptions of sample groups regarding adequacy and usefulness of reported infonnation.

Fundamental analysis could be taken into consideration instead of market runrors since there are additional political risks and economic uncertainties prevailing in the Palestinian Territories- In particular, relevant information was not sufficient, as companies listed did not comply with minimum disclosure requirements per international standards.

In addition to the incredibility and timeliness of information which leads to a lack of information being impounded into prices, contestant with (Al-Fayoumi 2003) results.

Restrictions on the repatriation of capital, which may have deterred foreign participation, thus, contributing to illiquidity and low volume of trading, are due to the weakness confidence and perceived risks of the market.

Therefore, the study presented a number of recommendations that may be helpful in improving the efficiency ofthe PSE, which in turn increases its role in the Palestinian economy as whole.

Main Subjects

Financial and Accounting Sciences

Topics

• Management
• Palestine

No. of Pages

110

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-562136