Please use this identifier to cite or link to this item: https://scholar.ptuk.edu.ps/handle/123456789/638
Title: IS PALESTINE EXCHANGE AN EFFICIENT MARKET IN SEMI-STRONG FORM?
Authors: Shihadeh, Fadi
Hannon, Azzam
Keywords: Event study
abnormal return
cash dividend
Palestine Exchange
market efficiency
announcement effect
market model
Issue Date: 1-Apr-2016
Publisher: International Journal of Economics, Commerce and Management
Citation:  Shehadeh, F.H. and Hannon, A.M(2016). Is Palestine exchanging an efficient market in semi-strong form? International Journal of Economics, Commerce and Management Vol. IV, Issue 4, April
Abstract: An efficient market hypothesis is still crucial towards financial literature and is of interest to researchers evaluating the efficiency of financial markets in various economies. In this study, we used the event study methodology to examine if the Palestine Exchange is an efficient market in its semi-strong form by studying the effect of cash dividend announcements on stocks prices for companies listed on the Palestine Exchange. We studied sixty events that have been announced in the nine years for the period between 1/1/2006 and 31/12/2014 by using the appropriate statistical tests to examine if the cumulative abnormal return is statistically significant around the announcement day; which are ten days before and ten days after the event day. The results reveal that we can accept the alternative hypothesis that assume there were statistically significant differences between cumulative abnormal returns and zero. Thus, investors could realize abnormal returns during the event window for the study period. From this study, we concluded that the Palestine Exchange is inefficient in semi-strong form in the study period.
URI: http://ijecm.co.uk/wp-content/uploads/2016/04/445.pdf
https://scholar.ptuk.edu.ps/handle/123456789/638
Appears in Collections:Business and Economics Faculty

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