Summary of the research

In this chapter the researcher would provide a summary explanation of how the ARIMA model method was used to test the stock market movement form Jan-2005 to Dec-2016, and various sub-sample periods which have been tested, in order to discover the impact of underlying factors using the three GCC market and five individual companies. The tests performed are time plots, descriptive statistic, and normality test. The tables and figures present the result of all the test conducted, and review will be summarised in the section as bellow:

Firstly, a time series plots was ran on the daily closing price and returns of Saudi and Dubai and Kuwait stock markets beside the individual companies that is SABIC, STC, NCCY, AL RAJHAI, Electricity company. The graph brings a quick visualisation of index price trend, outliers, and periodicities over the 12-year study time period and the sub-sample period pre- and post the reform; and pre-, during- and post global financial crisis 2008 and GCC crisis 2006. Lastly, pre and post financial liberalisation of Saudi stock market. Therefore, The Saudi, Dubai and Kuwait stock markets reached the lowest and highest price points within a three year time period between Jan-2006 and the beginning of 2009 for all markets. The basic trends are similar for all the three stock markets and the individual companies, as the daily prices were at a high fluctuated level before 2010, and dropped during 2006 and 2008. It went flat after 2010 in the first half of the period and remained the same trend afterwards. Therefore, the trends are a clear indication that the market movements are highly synced, which is indicative of the financial contagion. Hence, there was high level of correlation observed among markets in GCC.

Secondly, the descriptive statistic section on return presents the statistical properties of the mean, standard deviation, variance, skewness, and kurtosis of the studied time series and coefficients. In this sense, the skewness and kurtosis are one way of measuring normal distribution. As the existence of departure from zero skewness and departure, form three kurtosis, even though some of the mean are close to zero, the Pre-reform has a higher degree of normality than post-reforms series. Hence, the results show that the all-time series coefficients are not normally distributed. Lastly, high levels of volatility before 2010 were

found. This is consistent with increased synchronisation of opinions. Increased synchronisation is accompanied by a period of greater intensity of herding.

Thirdly, the empirical results (shown in Chapter six, seven and eight) reveal the market capitalisation weighted price index of the three countries and five individual companies during the period 2005–2016. The results indicate that the entire eight hypotheses were rejected in 99% significance level for all series except for Al Rajhi bank with 95% significance. Thus, all stock markets and the individual companies are inefficient, and stock movement do not follow a random walk during the period from Jan-2005-to Dec-2016. These results are in line with previous findings in the literature.

Fourthly, the researcher examined the relative weak form of GCC stock that form Jan-2005 to Dec-2016. In addition, the results showed that the Dubai stock market has the highest level of efficiency, followed by Saudi stock market then Kuwait stock market. However, regarding the companies that been chosen from Saudi stock market, SABIC has the highest level of efficiency followed by STC, Electricity Company, Al Rajhi bank and NCCY respectively.

Fifthly, the researcher tested the impact of GCC stock regulation reform that took place in Jan-2005 and Dec-2010. The results show that different levels of efficiency are shown by the ARIMA models and MAE, MSE, RMSE and MAPE error matrices between different markets at different times through comparison of various sub-samples. For instance, in the first six years from Jan-2005 to Dec-2011, there was a weak level of the efficiency and high level of the volatility and they rather negatively responded to the fluctuating crisis. This is comparable with the mature markets. Nevertheless, obvious improvement was observed in the efficiency level in the last 5 years that is from 2011-2015 and only NCCY did not show clear improvement in the level of the efficiency, suggesting that market microstructure variables may shed some light on efficiency results. In addition, the impact of global financial crisis on the GCC stock market that took place in Jan-2007 to Dec-2008 and the results show that there was no significant improvement found in the level of market efficiency through the comparison of before, during and after financial crisis-era. Moreover, the researcher tested the impact of GCC crisis on the GCC stock market that took place in Jan-2006 to Dec-2006 and the results show that there was no significant improvement found in the level of market efficiency through the comparison of before, during and after financial crisis-era. Lastly, the researcher tested the impact of financial liberalisation on the GCC stock market that took place in Jan-

2008 and the results show that there was no significant improvement found in the level of market efficiency through the comparison of pre- and post-financial liberalisation.

In conclusion, these empirical results show that the degree of the market efficiency is, in fact, time varying; and there are times when international markets are partly efficient and inefficient. After considering three countries and five individual companies, the researcher found firstly, that GCC stock markets are inefficient from 2005-2016. Secondly, the individual companies become more efficient when compared with the stock market. In addition, further investigation should reveal the mechanism of how the degree of market efficiency fluctuates from time to time – especially why the degree of market efficiency exhibits inefficient markets during extraordinary times – by utilising larger samples of data and by various statistical tests. The results provide strong evidence that the level of market efficiency varies over time and decreases after market collapse. Generally, the GCC markets indices and the companies that were chosen from Saudi stock market have been more efficient after 2010 than it was previously.