Testing the weak-form market efficiency and the day of the week effects of some African countries

Michael Batuo Enowbi, Francesco Guidi and Kupukile Mlambo

MPRA Paper from University Library of Munich, Germany

Abstract: The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is the typical negative Monday and Friday positive effects in several stock markets.

Keywords: African stock markets; random walk hypothesis; day of the week effects (search for similar items in EconPapers)
JEL-codes: C12 G14 G15 O55 (search for similar items in EconPapers)
Date: 2009-08-31
New Economics Papers: this item is included in nep-afr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19116

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