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A frican Stock Markets: Efficiency and Relative Predictability
Author(s) -
Smith Graham,
Dyakova Aneta
Publication year - 2014
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/saje.12009
Subject(s) - predictability , stock (firearms) , econometrics , economics , financial economics , monetary economics , mathematics , statistics , geography , archaeology
The weak form of the efficient markets hypothesis is tested for eight A frican stock markets using three finite‐sample variance ratio tests. A rolling window captures short‐horizon predictability, tracks changes in predictability and is used to rank markets by relative predictability. These stock markets experience successive periods when they are predictable and then not predictable; this is consistent with the adaptive markets hypothesis. The degree of predictability varies widely: the least predictable A frican stock markets are those located in E gypt, S outh A frica and T unisia, while the most predictable are in K enya, Z ambia and N igeria.