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graham smith 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2008,76(2):161-175
The hypothesis that a stock market price index follows a random walk is tested for 11 African stock markets, Botswana, Côte d'Ivoire, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe using joint variance ratio tests with finite-sample critical values, over the period beginning in January 2000 and ending in September 2006. The iid random walk hypothesis is rejected in all 11 markets. In four stock markets, Egypt, Nigeria, Tunisia and South Africa, weekly returns are a martingale difference sequence. Liquidity is an important factor which contributes to whether a stock market follows a random walk. 相似文献
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beatrice conradie graham cookson colin thirtle 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2006,74(2):334-343
A stochastic frontier is fitted to two panels of wine grape farms (34 in Robertson and 36 in Worcester) for 2003 and 2004 and a cross section of 37 table grape farms in De Doorns for 2004 only. The panel of wine grape farms is the best model as tests show that De Doorns is different. Output is explained by land, labour and machinery and efficiency is affected by labour quality, age and education of the farmer, location, the percentage of non‐bearing vines and expenditures on electricity for irrigation. There is evidence of a small degree of increasing returns to scale. 相似文献
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graham smith gillian rogers 《The South African journal of economics. Suid-afrikaanse tydskrif vir ekonomie》2006,74(3):410-421
The hypothesis that stock futures follow a random walk is tested for four stock index futures and a sample of 36 single stock futures traded on the JSE Securities Exchange, South Africa, using joint variance ratio tests based on (i) ranks and signs and (ii) wild bootstrapping. Overall, there is a high degree of weak‐form efficiency: all four stock index futures and twenty‐five of the sample of 36 single stock futures follow a random walk. 相似文献
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