Does Automation Improve Stock Market Efficiency? Evidence from Ghana
As a burgeoning capital market in an emerging economy, automation of the stock market is regarded as a major step towards integrating the financial market as a conduit for economic growth. The automation of the Ghana Stock Exchange (GSE) in 2008 is expected among other things to improve the efficiency of the market. This paper therefore investigates the impact of the automation on the efficiency of the GSE within the framework of the weak-form Efficient Market Hypothesis (EMH) using daily market returns from the Ghana Stock Exchange All-Share index from 2006 to 2011. The Unit Root Random Walk and the GARCH models were used to analyze the efficiency of the GSE in the pre and post automation sample periods. Results show that the GSE was weakly inefficient in both pre and post automation periods, suggesting that the automation of the GSE have not yielded the needed impact towards improving the efficiency of the exchange.
|Date of creation:||19 Aug 2012|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sharma, J. L. & Kennedy, Robert E., 1977. "A Comparative Analysis of Stock Price Behavior on the Bombay, London, and New York Stock Exchanges," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 391-413, September.
- Hudson, Robert & Dempsey, Michael & Keasey, Kevin, 1996. "A note on the weak form efficiency of capital markets: The application of simple technical trading rules to UK stock prices - 1935 to 1994," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 1121-1132, July.
- M. Magnusson & B. Wydick, 2002. "How Efficient are Africa's Emerging Stock Markets?," Journal of Development Studies, Taylor & Francis Journals, vol. 38(4), pages 141-156.
- 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.
- Maria Rosa Borges, 2010.
"Efficient market hypothesis in European stock markets,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 16(7), pages 711-726.
- Maria Rosa Borges, 2008. "Efficient Market Hypothesis in European Stock Markets," Working Papers Department of Economics 2008/20, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
- Appiah-Kusi, Joe & Menyah, Kojo, 2003. "Return predictability in African stock markets," Review of Financial Economics, Elsevier, vol. 12(3), pages 247-270.
- Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
- James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
- Freund, William C & Pagano, Michael S, 2000. "Market Efficiency in Specialist Markets Before and After Automation," The Financial Review, Eastern Finance Association, vol. 35(3), pages 79-104, August.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43642. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.