Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245320 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2020 [Pages:] 1-21
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The purpose of this study is to examine the weak-form market efficiency hypothesis (EMH) for 8 African Frontier markets between 2001 and 2017. To achieve this purpose, we employ unit root testing procedures which are robust to both nonlinearities and smooth structural breaks, making this study the first of its kind for African markets. Our empirical findings suggest that, regardless of whether daily or weekly series are employed, most African frontier markets are not market efficient, in the weak sense form, with the exception of the Kenyan stock market and to a very much lesser extent the Botswana and South African stock series. Important policy and investor implications are drawn in our study.
Subjects: 
Africa
efficient market hypothesis (EMH)
unit roots
nonlinearities
unobservedstructural breaks
Fourier approximation
JEL: 
C21
C22
C51
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.