| Country | Index | Hurst Exponent | t-stat | p-value | Conclusion |
| Morocco | MASI | 0.62352 | 5.3273 | 0.0018 | The index is not efficient. Signs of persistence in returns |
| Egypt | EGX 100 | 0.68580 | 8.7939 | 0.0001 | The index is not efficient. Signs of persistence in returns |
| Turkey | BIST ALL SHARES | 0.66238 | 7.2814 | 0.0003 | The index is not efficient. Signs of persistence in returns |
| Qatar | QSE ALL SHARES | 0.58913 | 2.4072 | 0.0528 | The index is not efficient. Signs of persistence in returns |
| UAE | DFM GENERAL | 0.64702 | 5.7642 | 0.0012 | The index is not efficient. Signs of persistence in returns |