Impact of efficiency indicators and its related aspects on the market return: An applied study on Palestine Stock Exchange

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The study deals with the efficiency of the Palestine Stock Exchange (PSE) indicators that explain the market return. The data published in the Palestine Exchange and the Palestinian Monetary Authority during 2010–2018 have been analyzed. The multiple regression method has been employed to determine the correlation between efficiency indicators and market return. However, the findings, on the one hand, determined that there was no statistically significant effect of efficiency indicators measured by the stock turnover rate and the market capital ratio. On the other hand, they demonstrated the impact of market concentration on market return, which shows a widespread weakness in the efficiency indicators. Therefore, PSE does not enjoy the required levels of efficiency even at the weak level. The study explored the absence of liquidity indicators required for market depth, speed of market response, and market concentration. Thus, the stock prices at the PSE become randomly moving, volatile, and unstable. Consequently, the outcomes of the aforementioned findings recommended the necessity to take the essential measures that activate the elements of market efficiency to reflect the available returns according to the scientific method. The paper also recommends that there should be incentives that motivate and encourage institutions to raise their capital and put their securities into the stock exchange to enhance their role in achieving economic development. However, it should be mentioned that the increasing number of companies leads to an increase in investments as it contributes to the expansion of the market.

Acknowledgment
Special thanks to Palestine Technical University for their continued and valuable support.

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    • Figure 1. Market return
    • Figure 2. Rate of stock turnover
    • Figure 3. Market capital ratio
    • Figure 4. Degree of market concentration
    • Table 1. The number of the listed companies on the Palestine Exchange for the years 2010–2018
    • Table 2. Description of study variables
    • Table 3. Descriptive statistics
    • Table 4. Regression results
    • Table A1. Summary of the study variables
    • Conceptualization
      Bahaa Sobhi Awwad
    • Formal Analysis
      Bahaa Sobhi Awwad
    • Funding acquisition
      Bahaa Sobhi Awwad
    • Methodology
      Bahaa Sobhi Awwad
    • Project administration
      Bahaa Sobhi Awwad
    • Software
      Bahaa Sobhi Awwad
    • Supervision
      Bahaa Sobhi Awwad
    • Writing – original draft
      Bahaa Sobhi Awwad
    • Data curation
      Bahaa Razia
    • Investigation
      Bahaa Razia
    • Resources
      Bahaa Razia
    • Validation
      Bahaa Razia
    • Visualization
      Bahaa Razia
    • Writing – review & editing
      Bahaa Razia