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Stationarity of African Stock Markets under an ESTAR framework

Author

Listed:
  • Emmanuel Numapau Gyamfi

    (University of Venda)

  • Kwabena A Kyei

    (University of Venda)

  • Ryan Gill

    (University of Louisville)

Abstract

The paper investigates the stationarity of eight indices on eight African stock markets. We review the extant literature on the stationarity of African stock markets and build on the works of Zhang et al. (2012) and Smith and Dyakova (2014). We use the non-linear ADF unit root test and the modified Wald type test under an ESTAR framework in our study. Our results show that both non-linear unit root tests fail to reject the null of unit root in all the markets but for Botswana. We infer from our results that the stock markets in Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia are non-stationary and hence weakform efficient. Our work goes to agree with Choi and Moh (2007) who believe that, the presence of nonlinear pattern in a data has no effect on the performance of a unit root test if the non-linear process is far from a unit root process.

Suggested Citation

  • Emmanuel Numapau Gyamfi & Kwabena A Kyei & Ryan Gill, 2016. "Stationarity of African Stock Markets under an ESTAR framework," EuroEconomica, Danubius University of Galati, issue 2(35), pages 93-101, November.
    • Handle: RePEc:dug:journl:y:2016:i:2:p:93-101
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    References listed on IDEAS

    as
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