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On nonlinear dependencies in African stock markets

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  • Idika E. Okorie
  • Saralees Nadarajah

Abstract

Ferreira, Dionisio, and Correia (2018. Physica A: Statistical Mechanics and Its Applications. 505, 680–687) showed that African stock markets at different time frames (before the Lehman Brothers financial crisis, during the crisis, and after the crisis) do not satisfy the efficient market hypothesis. Here, we provide evidence by means of six different nonparametric tests, and the fit of GARCH(1, 1), TGARCH(1, 1) and EGARCH(1, 1) models accounting for day of the week and month of the year effects that the majority of African stock markets do comply with the efficient market hypothesis.

Suggested Citation

  • Idika E. Okorie & Saralees Nadarajah, 2020. "On nonlinear dependencies in African stock markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 49(1), February.
    • Handle: RePEc:bla:ecnote:v:49:y:2020:i:1:n:e12137
    DOI: 10.1111/ecno.12137
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    Cited by:

    1. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).

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