In the current thesis, the efficiency of the Egyptian and other four MENA exchanges is examined. The first issue of interest is whether market efficiency in Egypt is related to size and regulatory changes. Employing weekly data for the period 1997-2007 and a battery of variance ratio tests (VRs), results indicated that the market was inefficient in pricing all securities during the first sub-period with tight price limits regime, however; it has become efficient in pricing securities, excluding small-capitalized firms, after the expansion of price limits coupled with adopting trading halt for few minutes if prices hit their new limits. The second issue considered is testing for weak-form-efficiency in five MENA exchanges during 1995-2009 using VRs in rolling window estimation to accommodate developments in the underlying exchanges. Results indicate that Turkish and Israeli exchanges are the most efficient throughout the whole period whereas both the Egyptian and Moroccan exchanges moved towards efficiency since late 2002 and the Jordanian exchange experienced inefficiencies during the end of the period. Exchange rates do not matter in determining the dynamics of equity markets examined. The last issue examined is the interdependence and information transmission across super sectors within the same exchange in Egypt, Turkey, and Israel. Multivariate co-integration analysis, which is executed from the domestic investor perspective, indicates the absence of long-term relationship in either exchange. In general, generalised impulse responses indicate that a positive shock in one index in either exchange affects other indexes in the same exchange. However, this impact tapers off quickly. More importantly, most of the impact is on the index experiencing the innovation and the effect on the remaining indexes is relatively small.