LIQUIDITY AND THE INFORMATIONAL EFFICIENCY OF AFRICAN STOCK MARKETS |
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Authors: | graham smith |
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Affiliation: | Department of Economics, School of Oriental and African Studies, University of London, Thornhaugh Street, UK |
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Abstract: | 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. |
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Keywords: | G14 G15 O16 |
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