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FURTHER EVIDENCE OF LONG MEMORY IN THE SOUTH AFRICAN STOCK MARKET
Author(s) -
Morris Quinton,
Van Vuuren Gary,
Styger Paul
Publication year - 2009
Publication title -
south african journal of economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.502
H-Index - 31
eISSN - 1813-6982
pISSN - 0038-2280
DOI - 10.1111/j.1813-6982.2009.01203.x
Subject(s) - efficient market hypothesis , long memory , stock market , markov chain , economics , econometrics , wavelet , financial economics , index (typography) , share price , stock (firearms) , markov process , stock exchange , mathematics , computer science , statistics , finance , engineering , geography , artificial intelligence , volatility (finance) , context (archaeology) , archaeology , world wide web , mechanical engineering
This paper expands and augments the results of the paper by Jefferis and Thupayagale) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the a ALSI 40 data. The Wavelet analysis indicated that most of the individual share prices and the share index time series are mean reverting over the long run and follow a long memory process, offering evidence against weak‐form efficient market hypothesis (EMH). The Markov model modelled the financial and prevalent economic conditions accurately and established the presence of patterns in the historic time series, providing additional support against the weak‐form EMH.