Testing Efficiency Performance of Saudi Stock Market

Stock market inefficiency has important implications for both investors and authorities. When stock market fails to perform the "sensitive processor" role, investors should doubt the strategy "hold-the-market" and adopt the strategy "beat-the- market" to pick up the winners. In this paper a number of statitical tests are applied on individual and on sectoral price indices, as well as on the aggregate price index of Saudi stock exchange Market. The results of the tests reject the hypothesis of the random walk at all levels of stock price indices.