Examining the weak form market efficiency risk: Determinants of macroeconomic variables

This study investigates the weak form market efficiency of indices for the Financial, Industrial and Service 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 three sectoral indices, were found to be cointegrated. Furthermore, the findings exhibit that oil prices as a determinant have the most significant relationship on the three stock indices. The consumption price index (CPI) is the second most significant determinant revealed to impact the Service and Industrial indices prices, although it was found 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, but no significant effect on the Industrial index prices. The overall findings from the period suggest that the Financial, Industrial and Service indices prices listed in MSM30 are inefficient in weak form market efficiency, which is consistent with previous studies examining the weak form of market efficiency. IJER.