The efficiency of the Maltese stock market

Abstract

The purpose of this research was to evaluate the overall efficiency of the Maltese Stock Market since its first equity listing. Main research in such study was based on institutions which listed equities on the Malta Stock Exchange (MSE). In reaching the aforementioned objective, a quantitative research was carried out using the Augmented Dickey Fuller test, the Autocorrelation Function and Runs Test. Required data was derived from the MSE website with respect to daily equity prices. To enhance the quantitative research, a questionnaire was conducted to compare results and to check whether institutions‟ perspective matches the outcome derived from past data. A set of questions were sent to institutions listed on the stock exchange via e-mail, keeping strict confidentiality. Both results were then compared with the Random Walk theory as explained in the literature review. Results from all of the methods showed that the Maltese Stock Market is not a weak form efficient one. It was therefore concluded, that overall, the market does not follow the Random Walk theory and hence not weak form efficient.