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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Liquidity and the informational efficiency of African stock markets
Author:Smith, GrahamISNI
Year:2008
Periodical:South African Journal of Economics
Volume:76
Issue:2
Pages:161-175
Language:English
Geographic term:Africa
Subject:financial market
External link:https://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2008.00171.x/pdf
Abstract:The hypothesis that a stock market price index follows a random walk is tested for 11 African stock markets, viz. Botswana, Côte d'Ivoire, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe, using joint variance ratio tests with finite-sample critical values, over the period beginning in January 2000 and ending in September 2006. The iid (independent and identically distributed) random walk hypothesis is rejected in all 11 markets. In four stock markets, Egypt, Nigeria, Tunisia and South Africa, weekly returns are a martingale difference sequence. Liquidity is an important factor which contributes to whether a stock market follows a random walk. Bibliogr., sum. [Journal abstract]
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