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Capitalisation And Weak-Form Efficiency In The Jse Securities Exchange

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  • KEITH JEFFERIS
  • GRAHAM SMITH

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  • Keith Jefferis & Graham Smith, 2004. "Capitalisation And Weak-Form Efficiency In The Jse Securities Exchange," South African Journal of Economics, Economic Society of South Africa, vol. 72(4), pages 684-707, September.
  • Handle: RePEc:bla:sajeco:v:72:y:2004:i:4:p:684-707
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    References listed on IDEAS

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    1. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
    2. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
    3. K.R. Jefferis & T.T. Matome, 2001. "International Stock Market Linkages," Research Papers RP_105, African Economic Research Consortium.
    4. Zalewska-Mitura, Anna & Hall, Stephen G., 1999. "Examining the first stages of market performance: a test for evolving market efficiency," Economics Letters, Elsevier, vol. 64(1), pages 1-12, July.
    5. Graham Smith & Keith Jefferis & Hyun-Jung Ryoo, 2002. "African stock markets: multiple variance ratio tests of random walks," Applied Financial Economics, Taylor & Francis Journals, vol. 12(7), pages 475-484.
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    Cited by:

    1. repec:spt:fininv:v:7:y:2018:i:3:f:7_3_3 is not listed on IDEAS
    2. repec:spr:annopr:v:243:y:2016:i:1:d:10.1007_s10479-014-1751-y is not listed on IDEAS
    3. Emmanuel Numapau Gyamfi & Kwabena Kyei & Kwabena Kyei, 2016. "Long - Memory Persistence in African Stock Markets," EuroEconomica, Danubius University of Galati, issue 1(35), pages 83-91, may.
    4. Graham Smith, 2008. "Liquidity And The Informational Efficiency Of African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(2), pages 161-175, June.
    5. Amira Akl Ahmed, 2014. "Evolving and relative efficiency of MENA stock markets: evidence from rolling joint variance ratio tests," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 91-126, May.

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