Examining the Weak form of Market Efficiency Risk: Evidence from Muscat Security Market Financial Index Sector
This study investigates the weak form market efficiency of indices for the Financial returns as listed in the Muscat
Securities Market (MSM30 index) in Oman, by conducting monthly observations from January 2010 until December 2014.
All macroeconomic variables, covered under Financial Sectoral Index , were found to be co-integrated. Furthermore, the
findings exhibit that oil prices as a determinant have the most significant relationship on the Financial Stock Index. It was
found that the CPI to exert no influence on the Financial index prices. Whilst inflation appears to be a third determinant,
there is a significant effect on the Financial and Service indices prices. The overall findings from the period suggest that the
Financial Index Prices listed in MSM30 is inefficient in weak form market efficiency, which is consistent with previous
studies examining the weak form of market efficiency.
Keywords: Financial Risk; Efficiency; Oman; Capital Market.