Abstract
This paper examined the Efficient Market Hypothesis ( EMH) for seven financial markets located in the Gulf Cooperative Council (GCC) countries; Bahrain Securities Market (BSE), Qatar's Doha Financial Market (DFM), Kuwait Securities Market (KSE) , Oman's Muscat Securities Market (MSM), Saudi Arabia's Tadawul All-Shares Index (TASI), and the two UAE markets, Dubai Securities Market (DSM) and Abu Dhabi Securities Exchange (ADX). This paper utilizes both the runs and multiple variance ratio (MVR) tests on weekly and daily index returns between June 2003 and June 2008. The runs test on weekly data rejects EMH for five out of the seven markets. The more powerful MVR test rejects the EMH for only two markets, Dubai Securities Market (DSM) and Abu Dhabi Securities Exchange (ADX). Keywords: GCC, Multiple Variance Ratio, Weak Form Efficient