The dynamic behavior of evolving efficiency: Evidence from the UAE stock markets

•The UAE stock markets exhibit evidence of evolving efficiency.•The UAE stock markets are found to be inefficient with a trend of improvement towards the weak-form of efficiency.•The evolving efficiency process is time-variant and exhibits evidence of conditional volatility and volatility persistence.•The crises (the GFC, OPC and AUC) do not provide strong evidence of the dynamic behaviors of evolving efficiency.