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Some Evidence of Persistence in South African Financial Time Series

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  • D Bendel
  • E vd M Smit
  • W D Hamman

Abstract

This article analyses some South African financial time series in order to ascertain whether long-term persistence is present. The technique used is that of Rescaled Range Analysis. The effect of short-term stochastic processes on Rescaled Range Analysis is determined, and methods to eliminate this bias are investigated.Long-term persistence is found for the share indices studied. The evidence for long-term persistence in the gold price is equivocal, and no evidence is found for long-term persistence in the interest and exchange rate series. The presence of long-term persistence in the share indices is incompatible with the weak form of the Efficient Market Hypothesis.

Suggested Citation

  • D Bendel & E vd M Smit & W D Hamman, 1996. "Some Evidence of Persistence in South African Financial Time Series," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 20(1), pages 59-83, March.
    • Handle: RePEc:taf:rseexx:v:20:y:1996:i:1:p:59-83
    DOI: 10.1080/03796205.1996.12129089
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