MARKET EFFICIENCY OF THE BAHRAIN STOCK EXCHANGE : An Empirical Study
| Author | Al Sammak, Nadia | |
|---|---|---|
| metadata.dc.contributor.department | UNIVERSITY OF BAHRAIN COLLEGE OF BUSINESS ADMINISTRATION MBA PROGRAM | |
| metadata.dc.date.accessioned | 2026-09-20T15:47:44Z | |
| Publication date | 1996 | |
| Degree level | Master | |
| Abstract | ABSTRACT : This research is an event study used to test whether the Bahrain Stock Exchange is efficient. Event Studies represent a good method to test efficiency because they reduce the joint hypothesis problem inherent in any market efficiency test and because the event day can be determined accurately. The event chosen in this research is that of the stock split announcements that occurred on the Bahrain Stock Exchange in 1991 and 1992. The research studies the behavior of stock splits over a 121 days study period with the announcement day centering this period. The methodology used is a typical event study methodology first introduced by Fama, Fisher, Jensen and Roll (1969). This method uses the Market Model version of Capital Asset Pricing Model (CAPM) to calculate expected returns which are then subtracted from the actual returns to determine abnormal returns. As we are concerned with whether the process of splitting is associated with some kind of behavior, the simple process of averaging is used rather than the behavior of individual stock prices. The results obtained in this research are very different from the typical results of the event studies discussed in the literature review part of this research. This is attributed, in my opinion, to the special characteristics of the Bahrain Stock Exchange. | |
| metadata.dc.identifier.other | Drupal node 3200 | |
| metadata.dc.identifier.other | https://digitalrepository.uob.edu.bh/en/dar/market-efficiency-bahrain-stock-exchange-empirical-study | |
| metadata.dc.identifier.uri | http://165.227.56.122/handle/123456789/6611 | |
| Language | en | |
| Link | https://digitalrepository.uob.edu.bh/en/_flysystem/fedora/2025-04/00135-market-efficiency-of-the-bahrain-stock-exchange.pdf | |
| Subject | Corporations--Dissertations | |
| Subject | Stock exchanges--Bahrain--Dissertations | |
| Title | MARKET EFFICIENCY OF THE BAHRAIN STOCK EXCHANGE : An Empirical Study | |
| Type | Master's Thesis | |
| College | College of Business Administration | |
| Department | UNIVERSITY OF BAHRAIN COLLEGE OF BUSINESS ADMINISTRATION MBA PROGRAM |
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