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Efficiency of the South African equity market

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  • David McMillan
  • Pako Thupayagale

Abstract

The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market.

Suggested Citation

  • David McMillan & Pako Thupayagale, 2008. "Efficiency of the South African equity market," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(5), pages 327-330.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:5:p:327-330
    DOI: 10.1080/17446540701720717
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    Citations

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    Cited by:

    1. 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.
    2. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
    3. Cevik, Emrah Ismail, 2012. "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme
      [The testing of efficient market hypothesis in the Istanbul Stock Excha
      ," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
    4. Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.

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