By continuing to browse this site you agree to us using cookies as described in About Cookies. Previous article in issue: Next article in issue: This paper represents the personal views of the authors and not necessarily those of their respective institutions.

We are grateful to Hyun-Jung Ryoo for helpful comments on an earlier version of the paper.

Testing the Efficiency of African Markets by Daniel N. Simons, Samuel Laryea :: SSRN

This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya.

Using a GARCH approach with time-varying parameters, a test of evolving efficiency TEE is implemented for periods starting in the early s and ending in June This test detects changes in weak form efficiency through time.

The TEE finds that the Johannesburg stock market is weak form efficient throughout the period, and three stock markets become weak form efficient towards the end of the period: Egypt and Morocco from and Nigeria from early These contrast with the Kenya and Zimbabwe stock markets which show no tendency towards weak form efficiency and the Mauritius market which displays a slow tendency to eliminate inefficiency.

The paper relates weak form efficiency to stock market turnover, capitalisation and institutional characteristics of markets. View all 35 citations.

Project MUSE - Market Efficiency in Developing African Stock Markets: What Do We Know?

Powered by Wiley Online Library. By continuing to browse this site you agree to us using cookies as described in About Cookies Remove maintenance message.

Go to old article view Advertisement. Department of Sti stock market singapore, School of Oriental and African Studies, University of London Search for more papers by this author. March Full publication history DOI: Set citation alert Citing literature.

Abstract This paper classifies formal African stock markets into four categories and discuses ava forex mobile trading platform principal characteristics of the seven markets covered in this study: Continue reading full article.

Format Available Full text: Keywords G14; G15; O16 African Stock Markets; efficiency; GARCH.

Publication History Issue online: Articles related to the one you are viewing Please enable Javascript to view the related content of this article. Number of times cited: Runescape fastest money making skill Mechanics and efficiency of african stock markets Applications,CrossRef 3 Kimberly M.

The efficient market hypothesis: Evidence from ten African stock markets

EllisPhyllis Y. KeysAdvancing Research Methodology in the African Context: Techniques, Methods, and Designs,1069 CrossRef 4 Graham SmithAneta DyakovaAfrican Stock Markets: Efficiency and Relative Predictability, South African Journal of Economics, 822, Wiley Online Library 5 Mohammad Abdul Munim JoarderMonir Uddin AhmedTahsina HaqueSyed HasanuzzamanAn empirical testing of informational efficiency in Bangladesh capital market, Economic Change and Restructuring, 471, 63 CrossRef 6 Aymen Ben RejebAdel BoughraraFinancial liberalization and emerging stock market efficiency: NoakesKanshukan RajaratnamTesting market efficiency on the Johannesburg Stock Exchange using the overlapping serial test, Annals of Operations ResearchCrossRef 8 Aymen Ben RejebAdel BoughraraFinancial liberalization and stock markets efficiency: New evidence from emerging economies, Emerging Markets Review, 17CrossRef 9 Sabur MollahAbul HassanMarket Microstructure in Emerging and Developed Markets,CrossRef 10 Kinga NiemczakGraham SmithMiddle Eastern stock markets: IsmailNesma M.

El-ShaibImpact of market and organizational determinants on voluntary disclosure in Egyptian companies, Meditari Accountancy Research, 202, CrossRef 14 Abdelrasaq Na-AllahSocial capability deficits and productivity behaviour of African manufacturing firms: Evidence from Lesotho garment producers, Development Southern Africa, 292, CrossRef 15 Bruce HearnThe contrasting effects of board composition and structure on IPO firm underpricing in a developing context, International Review of Financial Analysis, 2133 CrossRef 16 Jenifer PiesseBruce Allen HearnThe law of one price: FifieldSam Agyei-AmpomahStock market integration in Africa, Managerial Finance, 373, CrossRef 19 Suzanne G.

FifieldCollins G. NtimKwaku K. Close article support pane.