In this paper, we attempt to investigate the efficiency of emerging stock markets by considering the advent of dramatic country-specific events. In other words, we analyze and rank the weak-form efficiency levels of emerging stock markets based on a multi-step approach. Our findings support evidence of multifractality and anti-persistent movements of returns, implying a departure from the weak-form efficiency hypothesis. We also show that the political events adversely affect the efficiency degree of most markets. The empirical results clearly display the dynamic behavior of market efficiency. These findings are in line with the implications of the Adaptive Market Hypothesis.

中文翻译：

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重新审视政治冲击期间中东和北非股票市场的效率：来自多步骤方法的证据


在本文中，我们试图通过考虑特定国家重大事件的发生来研究新兴股票市场的效率。换句话说，我们基于多步骤方法对新兴股票市场的弱式效率水平进行分析和排名。我们的研究结果支持了多重分形和回报的反持续运动的证据，这意味着背离了弱式效率假说。我们还表明，政治事件对大多数市场的效率程度产生不利影响。实证结果清楚地展示了市场效率的动态行为。这些发现符合适应性市场假说的含义。