Effect Of Accounting Disclosure On Returns Of Shares In The Algerian Stock Exchange: Application Of Var Model

Abstract

This paper aims to investigate the relationship between annual document disclosure and the stock liquidity for companies listed in the Algeria stock market. VAR model was used to examine the impact of the market efficiency on stock prices of the companies during 2000 to 2015. The findings indicate that, there was no significant effect related to the timing of publication of financial information over a period of study on stock returns during the time of publication of annual financial statements.