Testing the weak-form market efficiency and the day of the week effects of some African countries
AbstractThe aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is the typical negative Monday and Friday positive effects in several stock markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19116.
Date of creation: 31 Aug 2009
Date of revision:
African stock markets; random walk hypothesis; day of the week effects;
Other versions of this item:
- Michael Batuo Enowbi & Francesco Guidi & Kupukile Mlambo, 2010. "Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries," The African Finance Journal, Africagrowth Institute, vol. 12(Conferenc), pages 1-26.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- O55 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Africa
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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