Testing the predictability of the Saudi market indices returns: Evidence from TADAWUL market

The purpose of this study is to determine whether the market index returns and sectoral indices in Saudi stock (TADAWUL) follow a random walk process as stated by efficient hypothesis for years 2011-2020. normal distribution test, runs variance ratio Augmented Dickey-Fuller (ADF) were used check hypotheses. At weak-form level, empirical findings reject hypothesis, indicating proving that not all historical data completely reflected prices. study's conclusions are significant investors who forming investment portfolios resemble market's portfolio.