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Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests

Author

Listed:
  • Daouda Lawa Tan Toe

    (University Thomas Sankara)

  • Mamadou Toe

    (University Thomas Sankara)

  • Tibi Didier Zoungrana

    (University Thomas Sankara)

Abstract

This study uses data from the BRVM and BCEAO databases collected between 1998 and 2020 to analyze the weak and semi-strong forms of the informational efficiency in the BRVM exchange. To examine the weak form of efficiency, the Augmented Dickey Fuller test, the Runs test, and the variance ratio are used. For the semi-strong form, the Johansen (1991) cointegration test and Granger causality tests are used. The results indicate that the BRVM is inefficient in the weak form because the Augmented Dickey Fuller (ADF) tests indicate the absence of a unit root and the variance ratio and runs test do not reject the random walk hypothesis. In the semi-strong form, the Johansen cointegration test and the Granger causality test are convergent and show that macroeconomic factors such as the money supply M1 and M2 have predictive power for stock prices in the BRVM.

Suggested Citation

  • Daouda Lawa Tan Toe & Mamadou Toe & Tibi Didier Zoungrana, 2023. "Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests," SN Business & Economics, Springer, vol. 3(9), pages 1-27, September.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:9:d:10.1007_s43546-023-00550-0
    DOI: 10.1007/s43546-023-00550-0
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    More about this item

    Keywords

    Market efficiency; Returns; Predictability tests; BRVM; WAEMU;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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