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Further Evidence Of Long Memory In The South African Stock Market

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  • Quinton Morris
  • Gary Van Vuuren
  • Paul Styger

Abstract

This paper expands and augments the results of the paper by Jefferis and Thupayagale) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the a ALSI 40 data. The Wavelet analysis indicated that most of the individual share prices and the share index time series are mean reverting over the long run and follow a long memory process, offering evidence against weak‐form efficient market hypothesis (EMH). The Markov model modelled the financial and prevalent economic conditions accurately and established the presence of patterns in the historic time series, providing additional support against the weak‐form EMH.

Suggested Citation

  • Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
    • Handle: RePEc:bla:sajeco:v:77:y:2009:i:1:p:81-101
    DOI: 10.1111/j.1813-6982.2009.01203.x
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    Cited by:

    1. Michael A. Noakes & Kanshukan Rajaratnam, 2016. "Testing market efficiency on the Johannesburg Stock Exchange using the overlapping serial test," Annals of Operations Research, Springer, vol. 243(1), pages 273-300, August.
    2. Adeabah, David & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2023. "How far have we come and where should we go after 30+ years of research on Africa's emerging financial markets? A systematic review and a bibliometric network analysis," Emerging Markets Review, Elsevier, vol. 55(C).

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