REVISITING THE EFFICIENT MARKET HYPOTHESIS FOR AFRICAN COUNTRIES: PANEL SURKSS TEST WITH A FOURIER FUNCTION

This study applies the panel seeming unrelated regression of the Kapetanios‐Shin‐Snell (SURKSS) test with a Fourier function to investigate the time‐series properties of stock prices in five African countries (i.e. Egypt, Kenya, Morocco, South Africa and Tunisia) over the period of January 2000–April 2011. The empirical results from the univariate unit root and panel‐based unit root tests indicate that unit root hypothesis can not be rejected for these five countries under study. However, results from the panel SURKSS test with a Fourier function indicate that unit root hypothesis can be rejected for Egypt and Morocco, two countries under study. Our results indicate that the weak‐form efficient market hypothesis holds in the other three countries, namely, Kenya, South Africa and Tunisia.