An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market Using Variance-Ratios Tests

Collins G. Ntim (), Kwaku K. Opong and Jo Danbolt ()
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Jo Danbolt: University of Glasgow

The African Finance Journal, 2007, vol. 9, issue 2, pages 1-25

Abstract: This study empirically re-examines the weak form efficient markets hypothesis of the Ghana Stock Market using a new robust non-parametric variance-ratios test in addition to its parametric alternative. The main finding is that stock returns are conclusively not efficient in the weak form, neither from the perspective of the strict random walk nor in the relaxed martingale difference sequence sense. Unlike previous evidence, our finding is robust to thin-trading, sub-sample periods as well as the choice of dataset. Consistent with prior studies, the results of the parametric variance-ratios test are ambiguous. By contrast, its non-parametric alternative provides conclusive results.

Keywords: Weak Form Efficiency; Random Walk; Martingale Difference Sequence; Parametric and Non-Parametric Variance-Ratios Tests; Ghana Stock Market (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2007
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Persistent link: http://EconPapers.repec.org/RePEc:afj:journl:v:9:y:2007:i:2:p:1-25

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