MARKET EFFICIENCY IN DEVELOPING COUNTRIES: A CASE STUDY OF THE NAIROBI STOCK EXCHANGE

John P. Dickinson · Kinandu Muragu

179 citations0/0 files storedJournal of Business Finance &amp Accounting

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This study extends evidence on the efficiency of stock markets in developing countries using data from the Nairobi Stock Exchange (NSE), and also addresses some methodological issues which have contributed to the sparseness of similar studies. Evidence is provided that small markets such as the NSE may provide empirical results consistent with weak‐form efficiency. This evidence holds for the NSE irrespective of whether bid‐, ask‐, or market‐price series are used in conducting the study.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1965The Behavior of Stock-Market Prices 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1988Permanent and Temporary Components of Stock Prices 1990Evidence of Predictable Behavior of Security Returns 1986Stock return variances 1981Day of the Week Effects and Asset Returns

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