Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193483 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Contemporary Economic and Business Issues [ISSN:] 1857-9108 [Volume:] 5 [Issue:] 1 [Publisher:] Ss. Cyril and Methodius University in Skopje, Faculty of Economics [Place:] Skopje [Year:] 2018 [Pages:] 35-50
Publisher: 
Ss. Cyril and Methodius University in Skopje, Faculty of Economics, Skopje
Abstract: 
An efficient stock market plays an important role in stimulating economic development through providing a channel for mobilising domestic savings and facilitating the allocation of financial resources from dormant to more productive activities. This paper evaluates the Ugandan Securities Exchange (USE) for evidence of a weakform efficient market hypothesis in the context of random walk model, using both linear and non-linear models. The preliminary analysis from the USE daily returns, for the September 1, 2011 to December 31, 2016 period, shows negative skewness, leptokurtosis, and non-normal distribution. Estimates from the linear models show evidence of weak-form efficiency. Conversely, estimates from non-linear models show evidence against weak-form efficiency of the USE. The study concludes that USE returns may only be predicted using non-linear models and fundamental analysis. In other words, linear models and technical analyses may be clueless for predicting future returns.
Subjects: 
Weak-form efficiency
random walk
linear and non-linear models
Ugandan securities exchange
JEL: 
G14
Document Type: 
Article

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