The changing efficiency of African stock markets

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Periodical article

Title:	The changing efficiency of African stock markets
Authors:	Jefferis, Keith Smith, Graham
Year:	2005
Periodical:	South African Journal of Economics
Volume:	73
Issue:	1
Pages:	54-67
Language:	English
Geographic term:	Africa
Subject:	financial market
External link:	https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2005.00004.x/pdf
Abstract:	This paper classifies formal African stock markets into four categories and discusses the principal characteristics of the seven markets covered in the study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH (general autoregressive conditional heteroskedasticity) approach with time-varying parameters, a test of evolving efficiency (TEE) is implemented for periods starting in the early 1990s and ending in June 2001. 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 1999 and Nigeria from early 2001. 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, capitalization and institutional characteristics of markets. Bibliogr., notes, sum. [ASC Leiden abstract]