LIQUIDITY AND THE INFORMATIONAL EFFICIENCY OF AFRICAN STOCK MARKETS

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.     

AN ANALYSIS OF THE IMPACT OF PEDAGOGIC INTERVENTIONS IN FIRST-YEAR ACADEMIC DEVELOPMENT AND MAINSTREAM COURSES IN MICROECONOMICS

This paper analyses the impact of pedagogic interventions in first-year academic development and mainstream courses in microeconomics on students' performance in the final examination. The data for six cohorts, covering the years 1999 and 2001-2005, are pooled, and the Heckman two-part procedure is used to account for those students who started the course but did not write the final examination. The results suggest that the pedagogic interventions have a positive impact on the performance of academic development students relative to the mainstream cohort and on the performance of mainstream students.     

AN ANALYSIS OF INVENTORY INVESTMENT IN SOUTH AFRICA

This paper describes the evolution of inventory investment in South Africa over the past two decades, and identifies the factors influencing inventory investment over this period. An econometric model of inventory investment in South Africa, based on the production smoothing approach, is constructed. The results of the model indicate that actual sales, production, unfilled orders, price levels, interest rates and expected sales have an influence on the evolution of inventory investment. These variables are directly or indirectly influenced by macroeconomic policy decisions and through their influence on inventory investment they also influence changes in gross domestic product. Therefore, prior information on the factors that influence inventory investment contributes to explaining changes in gross domestic product and may help to prepare more accurate short‐term forecasts of overall economic activity.     

VARIANCE RATIO TESTS OF THE RANDOM WALK HYPOTHESIS FOR SOUTH AFRICAN STOCK FUTURES

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.