Testing the Weak-form Market Efficiency and the Day of the Week Effects of some African Countries

Michael Batuo, Francesco Guidi and Kupukile Mlambo ()
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Kupukile Mlambo: African Development Bank

The African Finance Journal, 2010, vol. 12, issue Conference Issue, 1-26

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: G14 G15 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Working Paper: Testing the weak-form market efficiency and the day of the week effects of some African countries (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:12:y:2010:i:conference:p:1-26

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