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Review of literature from Asian and Middle East Countries which are in the group of new and emerging markets show that most empirical results obtained by using Runs and Serial Correlation tests reject the weak-form efficiency of most markets. Sampled tests include those by Mustafa & Nishat (2007) for Karachi Stock Exchange, Moustafa (2004) testing market efficiency of the United Arab Emirates (UAE) in the period from 2001 to 2003, Patel, Radadia & Dhawan (2012) for India and China markets. Other studies include those by Mobarek & Keasey (2000) who examined the Dhaka Stock exchange; Abraham, Sayyed & Alsakran (2002) for Gulf Stock Markets; Al-Jafari (2011) for Bahrain Securities Market; Al-Saleh & Ajmi (2012) for Saudi Stock Market; Nikita & Suerkano (2012) for Indonesia Stock Exchange.

Poshakwale (1996) tested weak-form efficiency of the Bombay Stock Exchange (BSE) in India using daily national data for the period January 1987 to October 1994. Test methods used were Runs and Serial Correlation. The results of the runs test rejected the hypothesis that the series is random. On the other hand, the evidence of presence of autocorrelation in the series suggested that there is serial dependence between the values. Therefore, the null hypothesis that there are no first order autocorrelation present in the series is rejected. Both tests proved that the Bombay Stock Exchange (BSE) was not weak-form efficient at least

in that period. Mobarek & Keasey (2000) examined the performance of Dhaka Stock Exchange (DSE). The study investigated the evidence of at least weak-form efficiency of the market. The sample included total 2,638 daily observations of the daily price indices for 10 years i.e. from 1988 to 1997. In addition, the study also considered the 30 randomly selected companies which were actively traded. The study used both non-parametric (run tests) and parametric test (autocorrelation test) among others. The transformation of daily share prices into daily returns was achieved by using a formula: R (mt) = Ln (PIt / PIt-1).

The results provided evidence that the share return series didn’t follow the RW Model and the significant autocorrelation coefficient at different lags rejected the null hypothesis of weak-form efficiency.

Abraham, Sayyed & Alsakran (2002) studied weak-form efficiency in three major Gulf stock markets including Kuwait, Saudi Arabia, and Bahrain using the runs and variance ratio tests for the period from October 1992 to December 1998. Their data consists of weekly index values for each of three Gulf stock markets. The results of both tests reject the random walk hypothesis in all markets. Taking into consideration of possible infrequent trading in all three markets, they applied a correction to the observed index by using decomposition of index returns and they failed to reject the random walk hypothesis for the Saudi Arabia and Bahrain markets, but not for the Kuwait market.

Moustafa (2004) examined the behaviour of stock prices in the United Arab Emirates (UAE) stock market using daily prices of 43 stocks included in the UAE market index for the period from 2nd October 2001 to 1st September 2003. When the tests were carried out using the runs tests, the results showed that the returns of 40 stocks out of the 43 were random at 5% level of significance. Although the UAE stock market is still young, small and suffering from infrequent trading, it was found to be weak-form efficient.

Mustafa & Nishat (2007) investigated the efficiency of the Karachi Stock Exchange (KSE) with corrections for thin trading and non-linearity using OLS. Daily, weekly and monthly data were used with three non-overlapping periods (December 1991 to May 1998; May 1998 to September 2001; and September 2001 to May 2003) and one combined period (May 1998 to May 2003). Returns were calculated by the difference of two successive log prices daily of KSE-100 Index:

Rt = lnPt – lnPt-1

where Pt is the current KSE-100 index and Pt-1 is a previous day’s KSE-100 index. In all periods and all sub-sample periods, the results indicate that the estimated coefficients were statistically significant. This indicates that the KSE was inefficient during the study period before adjustment for thin trading. It also implies that the KSE did not follow the random walk hypothesis. Furthermore, it shows that the effects of thin trading are an important factor in the efficiency of the Karachi Stock Market. However, results from the combined period (May 1998 – May 2003) supported the random walk hypothesis. A possible reason is that information on the stock market had become more easily available due to the internet, cable, television and newspapers.

Al-Jafari (2011) examined the RWH by testing the weak-form efficiency of Bahrain securities market. The study used daily observations of Bahrain all share index obtained from the monthly bulletin and reports found on the website of Bahrain Bourse. The data covered the period from 1st February 2003 to 30th November 2010. Daily returns were computed as Rt = ln(Pt /Pt-1), where Rt is a price of stock index at instant t. In order to examine the randomness and the behaviour of Bahrain stock market, parametric and non- parametric tests were employed. These include serial correlation test and the runs test. The results of the study suggest that Bahrain securities market does not follow random walk,

therefore inefficient in the weak-sense. Al-Ahmad (2012) examined the weak-form efficiency of the Damascus Securities Exchange (DSE), one of the most blossoming markets in the MENA region. The study used the daily returns of the DWX index from 31st December 2009 to 30th November 2011, in order to examine whether the returns on the DSE follow a random walk theory. Applying several tests of random walk including autocorrelation test, runs test, unit root test, variance ratio test, the results conclusively revealed that the DSE was not weak-form efficient.

Patel, Radadia & Dhawan (2012) investigated the weak-form market efficiency of Asian four selected stock markets [India – Bombay Stock Exchange SENSEX (BSE), Hong Kong-Hang Seng Index (HIS), Japan-Tokyo Stock Exchange NIKKEI (TSE), and China- Shanghai Stock Exchange (SSE)]. They took a daily closing price of stock markets under the study from 1st January 2000 to 31st March 2011 and also divided full sample in three interval periods, and applied Runs test, autocorrelation, and others including unit root test and variance ratio tests. BSE indicated highest mean returns to the investor followed by SSE Composite and HANGSENG. BSE could be considered as high risk markets as it reported the highest standard deviation. During the period, BSE Sensex, HANGSENG and SSE Composite markets showed positive average daily returns except NIKKEI.

The runs test indicated BSE Sensex and NIKKEI markets are weak-form inefficient whereas HANGSENG and SSE Composite are weak-form efficient. The study further says the time series for the full as well as sample period did not have a presence of unit root in the market under study. According to autocorrelation test it is inferred that the equity market of the Asia region under study remained inefficient for some lag whereas they were efficient for some lag. Nikita & Suekarno (2012) tested the weak-form market hypothesis of the Indonesia Stock Market. Daily closing price of IHSG and LQ45 composite index

between four years’ period (2008 – 2011) were taken as samples. The two conventional ways: autocorrelation and runs tests were used to provide evidence on weak-form market efficiency. The conclusion was that during the period of four years from 2008 to 2011, the Indonesia Stock Exchange was inefficient in the weak form. Summary of compiled empirical studies on weak form efficiency on weak-form efficiency selected from markets outside Africa is provided as appendix 4.