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Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models

Author

Listed:
  • Adefemi A. OBALADE
  • Akona TSHUTSHA
  • Lungelo MVUYANA
  • Nothando NDLOVU
  • Paul-Francois MUZINDUTSI

    (University of Western Cape
    University of KwaZulu-Natal
    University of KwaZulu-Natal
    University of KwaZulu-Natal)

Abstract

Time-varying calendar anomaly is thinly investigated in frontier stock markets. This study evaluates the day-of-the-week (DOW) calendar effects within the adaptive market hypothesis framework in frontier African stock markets. The study applies rolling analyses of the various GARCH family models to estimate daily stock indices return of Ghana stock exchange, Nairobi securities exchange, Botswana stock exchange and Bourse Regionale des Valeurs Mobilieres (BRVM) for 2000:1-2020:6 periods. The results show changing DOW effects in Kenya and Botswana which is consistent with the AMH. However, DOW effects cannot be validated in BRVM and Ghana. It suggests that each market must be treated with their own peculiarity even though they are ranked as frontier markets. We conclude that the changing DOW effects in the AMH context cannot be generalised in the frontier African markets and the existence of DOW effects must be treated with caution in BRVM and Ghana.

Suggested Citation

  • Adefemi A. OBALADE & Akona TSHUTSHA & Lungelo MVUYANA & Nothando NDLOVU & Paul-Francois MUZINDUTSI, 2022. "Are Frontier African Markets Inefficient or Adaptive? Application of Rolling GARCH Models," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 6(1), pages 19-35.
    • Handle: RePEc:trp:01jefa:jefa0053
    DOI: 10.1991/jefa.v6i1.a49
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    More about this item

    Keywords

    Calendar Effect; Frontier Markets; GARCH; Adaptive Market Hypothesis; Market Efficiency; Rolling Window.;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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