J. J. Appl. Sci., Vol. 10 , No.

1, (2007)

:2004-1999

19000

2006/09/24 : 2005/06/15 :
Djebbar, Mahfoud (2007) Testing the semi- (2007)
strong form of efficiency of Algiers stock :2004-1999
Exchange during 1999-2004 period: Empirical
study. J. J. Appl. Sci-Humanities. 10 (1): 79-98. .98-79 :(1)10

Abstract: 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.

.
.

.
.

"
" ."[1]

."[2]
"
."[3] [ ] [ ]

79
 [ ] .
.
[ ]
.

.
. abnormal profits
intrinsic value
[4]

.
.

.
.
"
."[5]

.
.
.

.
.randomness

.
.

80
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

:
-
-
. -

.
.
.

2004
: .
. [ ]

: .
x -
Me -

% -
.
: -
Yt = f(Yt −1)
-
4
.
. E-views, SPSS, … -
. -
-
.

Louis Bachelier
.1900
.
Pearson 1905, Courles & Jones 1937, Working 1939, Osborn & :

81
Roberts 1959, Cootner 1962, Moore 1962, Garanger & Mongenstern 1963, Fama 1965, Fama,
Fisher, Jensen & Roll 1969, Solnik 1973, Branch 1977, Roll 1982, Reinganum 1983, Francis
.[6] 1986, Goldenberger 1988, Djebbar 2004
.

.
.
2001 1999

.[7]

.i
.
.

.
[ ]
:

7 5 14 [8] -
.

.
. 3 5 6 [9] -

.
. -
:

:
2.3

.....
.2000 /03 /20

82
J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

....
.2002 /09 /25

.... 2002
.2000 /12 /06

1000
200
.... 5
.2002 /07 /16

.
[ ]
.
.
[ ]

.4 3 1

83
 :1

1999 99/12/4 1

1999 00/9/4 2

2.3
00/3/20 5
99

%14
00/7/18 6

2000 01/3/27 7

00/11/2 15

5 : 02/7/3 18

00/10/28 19

:
03/12/3 20

. :

: . -
-

.2004 -1999 -

: .
relevant information

84
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

: [10]

weak-form efficiency
.

.
[... ]

.abnormal returns
.
.
:
.[11]

semi-strong form efficiency

. overvalued or undervalued

. [ ]
. market model
:[12] [ ]
[undiversified systemic risk] -
-
.

:[13] .
it = αi + βi mt + it
it [ ]t mt t i it
βi random error term i
i .Rit
beta
] αi .coefficient
.[ Rit

85
.

.
.

[ ] .
.
.

-
.
.
:
.
:
Roll & [14] Sunder
. [15] Kamplan

.
.

.
Enron, WorldCom, Anderson
2002
.
2005
.

.
– -
.

–
Fama,
1969 FFJR Fisher, Jensen, Roll
stock split .[16]
2000
. 500 4 1000
.
FFJR
1927 / 60 940
1959 /
.[17]

.[18]
.

86
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

.
.

strong-form efficiency

.
.
. insider information
:
[ ]
: insiders .abnormal returns
.

.insider trading

.[19]
- -

.
inefficiency
.

. [20]

.1999 / 13
Sonatrach
. % 20 1
2
] . % 20
1.2 % 20 2000 / 14 [
.[21]
. 2006/06/30

]
. [

87
 .
.

.
.
: -
:2
[ ]
2003-1999

Me % x
2307 0.18 2306
1
2300 0.09 2301
2300 0 2300
2
2300 0 2300
2292 0.24 2292
3
2285 0 2285
947 1.97 957
4
960 1.19 958
2337 0.81 2332
5
2302 0.11 2302
2300 0 2300
6
2300 0 2300
2292 0.24 2292
7
2285 0.09 2283
1782 2.08 1805
8
1740 3.31 1726
1615 5.21 1578
9
1195 5.23 1208
1615 5.21 1578
10
1195 5.23 1208
1615 5.21 1578
11
1195 5.23 1208
= =
:
.

88
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

:[2 ]
15 -
. 20
.
[ ]
. % 75 .
1 Me x
. 2301 2306
[2 ] 14
.
.

-
20 10
.
8 .

13 .% 3.31 % 2.08
% 1.19 % 1.97 .[ 2 ]
.

.
.

89
 : -
2004-1999 :3

Me % x
382 1.09 381
1
372 1.12 371

380 1.73 376

2
340 2.33 340

312 5.37 312

3
265 3.10 267

312 5.07 299

4
260 1.65 262

240 2.26 241

5
227 1.81 229

215 0.00 215

6
210 1.02 211

260 1.36 260

7
250 0.00 250

255 1.96 255

8
260 1.68 257

270 0.00 270

9
270 0.00 270

270 0.00 270

10
270 0.00 270
= =
:
.

% 80
6 . .
215
. 210 215 211
% 1.02 % 0.00
% 20 .
.

90
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

376 2
. % 2.33 % 1.73 340

: -
2004-1999 :4

Me % x
765 3.04 766
1
772 2.84 771
780 3.05 772
2
697 3.56 698
752 3.11 757
3
697 3.06 696
717 4.09 708
4
725 3.17 726
460 4.86 460
5
407 3.50 408
430 3.29 430
6
400 1.09 397
390 2.45 391
7
370 0.00 370
430 2.25 426
8
435 1.51 431
365 0.00 365
9
345 1.86 348
352 2.52 354
10
345 0.00 345
= =
:
.

8
. 10
4
725 717 726 708
% 3.17 % 4.09 .
.

91
 r .
: .
Yt −1 t Yt Yt = f(Yt −1)
.

:5

0.8182 0.5095 1999

0.9752 0.7582 0.4463 2000

1.0000 0.9530 0.9831 2001

0.4247 0.9604 0.9603 2002

0.5737 0.8606 0.6075 2003

0.9859 0.7728 0.7453 2004

0.9929 0.9948 0.9974 04-99

:
.

2000 2003
0.99 2004-1999
.

92
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

.
.

.
.

.
semi-strong form of efficiency
.

[1] Archer S H et al (1983) Financial Management, Wiley and Sons, p 74.

[2] Brealey R & S Myers (1982) Principles of Corporate Finance, International
Student ed, p 257.
[3] Copeland T E & J F Weston (1983) Financial Theory and Corporate Policy,
2nd ed, Addison - Wesley, p 285.
perfect capital [4]
: market
. -
. -
. – – -
. -

. .
[5] Russel Fogler H (1978) Analysing the Stock Market: Statistical Evidence and
Methodology, 2nd ed. Grid Inc, pp 1,2.
[6] Daloz J P (1973) Le Hasard et les Cours Boursiers, Cujas, pp 16, 21, 22.
2001-1999 (2004) [7]
.101-81 . 3
[ ] [8]
.

93
 .
.
[ ] [9]
.
.
.
1967 Robets [10]
Fama [Brealey R & S Myers, p 262]
.[Copeland T E & J F Weston, p 287] 1970
: [11]

.381-375 :1997/1996
[12] Jacquillat B & B Solnik (1976) Les Marchés Financiers et la Gestion de
Portefeuille, 2è éd, Dunod, pp 32 et s.
[13] Tinic S M & R R West (1979) Investing in Securities: An Efficient Markets
Approach, Addison - Wesley, pp 499-503 and Jacquillat, B & B Solnik,
(1989) Marchés Financiers: Getion des portefeuilles et des risques, Dunod,
pp 92-99.
[14] Sunder S (1973) Relationship Between Accounting Changes and Stock
Prices: Problems of Measurement and some Empirical Evidence, Empirical
Research in Accounting, selected studies, in: Copeland T E & J F Weston,
pp 319-327.
[15] Kaplan R S & Roll R (1972) Investor Evaluation of Accounting Information:
Some Empirical evidence, Journal of Business N° 45, in: Brealey, R & S
Myers, pp 268-270.
[16] Fama E et al (1969) (FFJR) The Adjustment of Stock Prices to New
Information, International Economic Review, pp 1-21.
[17] Copeland T E & J F Weston, op, cit, p 136.
[18] idem, pp 337- 338.
[19] Lorie J H & M H Hamilton (1973) The Stock Market: Theories and
Evidence, Irwin, pp 86-96.
[20] Reglement COSOB N° 96/ 02 du 22 Juin 1996 relatif à l’information à
publier par les Sociétés et organisms faisant appel public à l’épargne.
. [21]
[22] Régniez J (1989) Les Nouveaux Produits Financiers, La Découverte .
[23] Tvede L (1994) La Psychologie des Marchés Financiers, SIFI.

94
 J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

:1

1999 99/12/4 1
1999 00/9/4 2

2000 01/03/20 3

.99 00 01 03/8/5 4

99 2.3 00/3/20 5
%14
00/7/18 6

2000 01/3/27 7
2001 01/9/30 8
2001 02/3/30 9
2001 02/4/7 10
2001 02/4/15 11
2001 %38 02/6/23 12
2002 03/8/3 13
2002 03/9/30 14

00/11/2 15

00/11/28 16

01/8/7 17

5 : 02/7/3 18

00/10/28 19

:
03/12/3 20

. :

95
 [ ] :2
2003-1999

Me % x
2307 0.18 2306
1
2300 0.09 2301
2300 0 2300
2
2300 0 2300
2292 0.24 2292
3
2285 0 2285
947 1.97 957
4
960 1.19 958
2337 0.81 2332
5
2302 0.11 2302
2300 0 2300
6
2300 0 2300
2292 0.24 2292
7
2285 0.09 2283
1782 2.08 1805
8
1740 3.31 1726
1615 5.21 1578
9
1195 5.23 1208
1615 5.21 1578
10
1195 5.23 1208
1615 5.21 1578
11
1195 5.23 1208
1267 8.14 1282
12
1100 1.84 1110
945 1.97 957
13
960 1.19 958
947 1.08 952
14
970 1.84 972
2300 0 2300
15
2295 0.15 2295
2295 0.15 2295
16
2297 0.11 2297
1750 2.02 1750
17
1742 2.44 1742
1150 4.20 1158
18
1072 2.22 1073
2300 0 2300
19
2295 0.15 2295
960 1.19 958
20
1025 3.36 1017
= =
:
.

96
J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

:3

00/11/28 1

01/05/16 2

01/10/28 3

2001
01/11/10 4
2000

22 02/07/31 5

2002
02/10/09 6
240

2002 03/06/24 7

03/09/30 8

300 2003
04/06/30 9

2004
04/09/07 10
.2003
. :

97
 :4

00/8/6 1
01/04/17 2
- 01/05/02 3
- 01/5/16 4

02/7/11 5

02/9/25 6
7 2002
02/11/2 7
2001 %
03/12/17 8
2003 04/04/24 9
2004
04/10/11 10
2003
. :

98
J. J. Appl. Sci., Vol. 10 , No. 1, (2007)

99