The efficiency of financial markets – an econometric study on the Algeria stock exchange

Abstract

This study aims to assess the capital market efficiency of the Algeria Stock Exchange through testing the weak-form of efficient market hypothesis. The assessment has relied on daily price data for a sample of securities during a period of 12 months, from 02 January 2019 until 31 October 2019. Through performing all of the Augmented Dickey-Fuller Test (ADF), the Phillips–Perron test (PP), the normal distribution hypothesis test of time series, and the simultaneous integration of stock prices of the Algeria Stock Exchange, the results have shown a random presence in the movement of stock prices. Hence, the study induces that the Algerian financial market suffers from a low level of efficiency. We return This interpretation to the simultaneous integration relationship between equities and a correlation between them.