اختبار صيغة الكفاءة المتوسطة للسوق المالية الجزائرية للفترة 1999-2004 دراسة تجريبية

Testing the medium efficiency formula for the Algerian financial market for the period 1999-2004, an empirical study

Stock prices reflect public knowledge, i.e. information available to investors about underlying companies, and analyzing that information can not lead to abnormal profits. In this context, and after discussing briefly different forms of market efficiency, we try to test the responsiveness of the Algerian financial market to this kind of information, through the assessment of the effect of a sample of advertisements, chosen randomly, on stock prices at Algiers Stock Exchange (ASE). It appears that the market is neither efficient in its semi-strong nor in its weak forms. In the last part we focus on whether changes in prices of common stocks are independent of each other, and consequently we verify the semi-strong form efficiency of the ASE. Evidence shows that prices are correlated, and, therefore, the market is inefficient.