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Smith, Graham and Dyakova, Aneta (2014) 'African stock markets: efficiency and relative predictability.' South African Journal of Economics, 82 (2). pp. 258-275.

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Abstract

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; the most predictable are in Kenya, Zambia and Nigeria

Item Type: Journal Article
Keywords: Martingale, African stock markets, adaptive markets hypothesis, infrequent trading, relative efficiency, variance ratio
SOAS Departments & Centres: Legacy Departments > Faculty of Law and Social Sciences > Department of Economics
Subjects: H Social Sciences > HG Finance
ISSN: 18136982
DOI (Digital Object Identifier): https://doi.org/10.1111/saje.12009
Date Deposited: 15 Jul 2013 08:58
URI: https://eprints.soas.ac.uk/id/eprint/16718

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