LIQUIDITY AND THE INFORMATIONAL EFFICIENCY OF AFRICAN STOCK MARKETS

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56 citations0/0 files storedSouth African Journal of Economics

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

Abstract

Abstract The hypothesis that a stock market price index follows a random walk is tested for 11 African stock markets, Botswana, Côte d’Ivoire, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe using joint variance ratio tests with finite‐sample critical values, over the period beginning in January 2000 and ending in September 2006. The iid random walk hypothesis is rejected in all 11 markets. In four stock markets, Egypt, Nigeria, Tunisia and South Africa, weekly returns are a martingale difference sequence. Liquidity is an important factor which contributes to whether a stock market follows a random walk.

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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 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1953The Analysis of Economic Time-Series-Part I: Prices 1993A simple multiple variance ratio test 2000Alternative Variance-Ratio Tests Using Ranks and Signs 2007Are Asian stock markets efficient? Evidence from new multiple variance ratio tests 2006A comparison of variance ratio tests of random walk: A case of Asian emerging stock markets

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2013A frican Stock Markets: Efficiency and Relative Predictability 2016Speculative bubbles and irrational exuberance in African stock markets 2014Market Efficiency in Developing African Stock Markets: What Do We Know?

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