African Stock Markets: Multiple Variance Ratio Tests of Random Walks

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African Stock Markets: Multiple Variance Ratio Tests of Random Walks

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Smith, Graham
Jefferis, Keith
Ryoo, Hyun-Jung

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Keith Jefferis

Abstract

This paper identifies four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take off. The hypothesis that a stock market price index follows a random walk is tested for South Africa, five medium-sized markets (Egypt, Kenya, Morocco, Nigeria and Zimbabwe) and two small new markets (Botswana and Mauritius) using the multiple variance ratio test of Chow and Denning (1993). The hypothesis is rejected in seven of the markets because of autocorrelation of returns. For the South African market, the stock price index follows a random walk. The paper also suggests factors which may contribute to whether or not an equity market follows a random walk. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 12 (2002)
Issue (Month): 7 (July)
Pages: 475-84
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Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:475-84

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