Liquidity And The Informational Efficiency Of African Stock Markets
AbstractThe hypothesis that a stock market price index follows a random walk is tested for 11 African stock markets, Botswana, C�te 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. Copyright (c) 2008 The Author. Journal compilation (c) 2008 Economic Society of South Africa.
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Bibliographic InfoArticle provided by Economic Society of South Africa in its journal South African Journal of Economics.
Volume (Year): 76 (2008)
Issue (Month): 2 (06)
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- Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.
- Mensah, Justice T. & Pomaa-Berko, Maame & Adom, Philip Kofi, 2012. "Does Automation Improve Stock Market Efficiency? Evidence from Ghana," MPRA Paper 43642, University Library of Munich, Germany.
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