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How Efficient are Africa's Emerging Stock Markets?

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  • M. Magnusson
  • B. Wydick
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    Abstract

    The development of financial institutions has been viewed in recent years as critical to the economic development process. This research uses recent data from the eight largest African stock markets to test whether these markets meet the criterion of weak-form stock market efficiency with returns characterised by a random walk. Results are then compared with similar tests on emerging stock markets in South-east Asia and Latin America. Conclusions from the research indicate that test results for weak-form efficiency in the emerging African stock markets compare favourably with those performed on other emerging stock markets.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/00220380412331322441
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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Journal of Development Studies.

    Volume (Year): 38 (2002)
    Issue (Month): 4 ()
    Pages: 141-156

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    Handle: RePEc:taf:jdevst:v:38:y:2002:i:4:p:141-156

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    Web page: http://www.tandfonline.com/FJDS20

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    Related research

    Keywords: development of financial institutions; African stock markets; weak-form efficiency; emerging stock markets;

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    Cited by:
    1. Maria Rosa Borges, 2008. "Efficient Market Hypothesis in European Stock Markets," Working Papers Department of Economics 2008/20, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
    2. Alagidede, Paul, 2011. "Return behaviour in Africa's emerging equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 133-140, May.
    3. Li, Youwei & Hamill, Philip A. & Opong, Kwaku K., 2010. "Do benchmark African equity indices exhibit the stylized facts?," Global Finance Journal, Elsevier, vol. 21(1), pages 71-97.
    4. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 527-533.
    5. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
    6. Maria Rosa Borges, 2007. "Random Walk Tests for the Lisbon Stock Market," Working Papers Department of Economics 2007/14, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
    7. Twm Evans, 2006. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1273-1283.
    8. Nathan Fiala, 2013. "Skills in the Marketplace: Individual Characteristics and Bargaining Ability in a Field-Based Experiment," Discussion Papers of DIW Berlin 1326, DIW Berlin, German Institute for Economic Research.
    9. Bodeutsch, D. & Franses, Ph.H.B.F., 2014. "The Stock Exchange of Suriname: Returns, Volatility, Correlations and Weak-form Efficiency," Econometric Institute Research Papers EI 2014-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

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