Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia

"This study examines stock returns in Saudi Arabia and Kuwait over the period The Kuwaiti market is similar to other thinly traded markets in the proportion of individual stocks exhibiting statistically significant autocorrelations and price change runs. In contrast, all 35 Saudi stocks show a significant departure from the random walk. The mean Saudi autocorrelation coefficient of −0.471 is opposite in sign and is huge in magnitude in comparison to autocorrelations reported in other stock market studies. Institutional factors contributing to market inefficiency include illiquidity, market fragmentation, trading and reporting delays, and the absence of official market makers."