African Stock Markets: Efficiency and Relative Predictability. (20th June 2013)

• Record Type: Journal Article
• Authors: Smith, Graham; Dyakova, Aneta
• Is Part Of: South African journal of economics. Volume 82:Number 2(2014:Jun.)
• Page Start: 258
• Page End: 275
• Publication Date: 2013-06-20
• Subjects: Economics -- Periodicals; South Africa -- Economic conditions -- Periodicals; Économie politique -- Périodiques; Afrique du Sud -- Conditions économiques -- Périodiques; Economie; ECONOMICS; Electronic journals; 330.5
• DOI: 10.1111/saje.12009
• Languages: English
• ISSNs: 0038-2280

Abstract

<abstract abstract-type="main"> <title>Abstract</title> <p>The weak form of the efficient markets hypothesis is tested for eight African 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 African stock markets are those located in Egypt, South Africa and Tunisia, while the most predictable are in Kenya, Zambia and Nigeria.</p> </abstract>