The Relationship Between the Random Walk of the Returns of Financial Market Indices and Market Efficiency: an Analytical Study of the Indicators of a Sample of Arab Financial Markets




Random Movement, Market Efficiency, Stock Indices Returns


Purpose:  The aim of this article is to study focused through the sample that was selected for the Arab financial markets (Iraq, Kuwait, Dubai) on testing the behavior of the returns of the stock indices for the sample to verify whether they follow the random walk or not.


Theoretical framework: The concept of financial market indices and market efficiency was considered as a  complex multi-tiered system. theory of capital markets functioning were employed in the study.


Design/methodology/approach:  At the weak level, the research dealt with the returns of the daily market indices during the period from January 5/2021 to December 1, 2021.


Findings: through the use of three tests, which are to test the normal distribution of the studied observations using the test (Kolmogorov-Smirnov test), and the time-series stability test (Stationary), which is known as the unit root test through the use of the modified Dickey-Fuller Test, and the serial self-correlation test (Q-Stat) as part of the financial markets efficiency test.which means that the conscious investor can benefit from achieving extraordinary returns in those markets.


Research, Practical & Social implications: We suggest a future research agenda and highlight the contributions made to executive and financial market.


Originality/value:  The research concluded that the random movement hypothesis was accepted, and that the stock indices reflect all the historical information in the researched markets, and then the efficiency of the studied markets at the weak level.



Download data is not yet available.

Author Biography

Elias Khudair Fanoosh Al-Hamdooni

Dr. Elias Khudair Fanoosh Al-Hamdooni

Assistant Professor - Department of Business Administration

Faculty of Administrative and Financial Sciences - Al-Kitab University


Al-Muzahidiyah, Tawfiq Hamadeh, (2015), Random Characteristics of Stock Price Indicators and the Possibility of Predicting Returns in the Gulf Stock Markets, Al-Taawon Journal, Volume 29, Issue 88, pp. 41-94.

Bailey Roy E., 2005, “The Economics of Financial Markets”, Cambridge University Press, 1th Edition, New York.

Brown J Stephen, (2020) " The Efficient Market Hypothesis, the Financial Analysts Journal, and the Professional Status of Investment Management", Financial Analysts Journal, Vol. 76 No 2.PP 5-14.

Can Kadir, (2010), “Market Rationality: Efficient Market Hypothesis versus Market Anomalies”, European Journal of Economic and Political Studies, Vol. 3, No. 2, pp. 23-38.

Chitenderu T, Maredza A, Sibanda K., (2014) " The Random Walk Theory And Stock Prices: Evidence From Johannesburg Stock Exchange" , International Business & Economics Research Journal, Vol. 13 No 6.

Damodaran Aswath, (2006), “Valuation Approaches and Metrics: A Survey of the Theory and Evidence”, Working Paper, Stern School of Business.

Davidson Paul, (2002), “Financial Markets, Money and the Real World”, Edward Elgar Publishing Limited, Cheltenham, UK , Northampton, MA, USA.

Davis Mark, (2006), “Louis Bachelier's Theory of Speculation: The Origins of Modern Finance”, (Translator), Alison Etheridge, and Paul Samuelson, Princeton university press.

Dimson E., and, Mussavian M., (1998), “A brief history of market efficiency” , European Financial Management, Vol. 4, No 1. pp. 91-105.

Fama Eugene F., (1965), “The Behavior of Stock-Market Prices”, The Journal of Business, Vol. 38, No. pp. 34-105.

Fox Justin, (2009), “The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street”, Harper Business, New York.

Gibson, George Rutledge, (1889), “The Stock Exchanges of London, Paris, and New York: A Comparison, New York”: G. P. Putnam’s Sons.

Jin Wei S, Wei Z, Xu Jianhuan., (2021) " On the market failure of ‘‘missing pioneers’’, Journal of Development Economics, Vol. 152 .

Jovanovic, F. (2009), “Le Modèle de Marché Aléatoire dans l’Economie Financière de 1863 à 1976”, Revue d'Histoire des Sciences Humaines, No. 20 pp. 51-78.

Kushwah S,V., Negi P., and, Sharma A, (2013), “The Random Character of Stock Market Prices : A Study 0f Indian Stock Exchange”, Integral Review- A Journal of Management, Vol. 6 No 1, pp. 24 – 33.

Nicholas, Aaron., (2022) " Invisible Hand, invisible morals: An experiment", Journal of Economic Behavior & Organization, Vol. 197 pp. 395–418.

Randall, Alan. (1983), "The Problem of Market Failure." Natural Resources Journal, Vol. 23, pp. 131-148.

Raymond de Roover, (1958), “The Concept of the Just Price: Theory and Economic Policy”, Journal of Economic History, Vol. 18, No. 4, pp. 418-434.

Roberts Harry V., (1959), “Stock-Market Patterns and Financial Analysis: Methodological Suggestions”, Journal of Finance, Vol. 14 No 1. pp. 1–10.

Sewell Martin, (2011), “History of the Efficient Market Hypothesis”, UCL Research Note RN/11/04, University College London.

Shefrin H., And, Statman M, (2011), “Behavioral Finance in the Financial Crisis: Market Efficiency, Minsky, and Keynes”, Working Paper, Santa Clara University.

Singh J, Babshetti V, Shivaprasad H N., (2021) " Efficient Market Hypothesis to Behavioral Finance: A Review of Rationality to Irrationality", Materials Today: Proceedings, DOI10.1016/j.matpr.2021.03.318.

Stabile, Donald R., (2006) “Forerunners of Modern Financial Economics: A Random Walk in the History of Economic Thought, 1900-1950(a review)”, Financial Analysts Journal, Vol. 6 No 1.

Muhammad, Sam Saad, (2014), “Random price movement and the level of financial market efficiency: the case of the Amman Stock Exchange,” Dirasat Journal for Administrative Sciences, Vol. 41, No. 2, pp. 417-423.




How to Cite

Al-Hamdooni, E. K. F. (2023). The Relationship Between the Random Walk of the Returns of Financial Market Indices and Market Efficiency: an Analytical Study of the Indicators of a Sample of Arab Financial Markets. International Journal of Professional Business Review, 8(3), e0663.