Long - Memory Persistence in African Stock Markets

Emmanuel Numapau Gyamfi (), Kwabena Kyei () and Kwabena Kyei ()
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Emmanuel Numapau Gyamfi: University of Venda
Kwabena Kyei: University of Venda
Kwabena Kyei: University of Louisville

EuroEconomica, 2016, issue 1(35), 83-91

Abstract: Emerging stock markets are said to become efficient with time. This study seeks to investigate this assertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28 August 2000 to 28 August 2015. The Hurst exponent is used as our efficiency measure which is evaluated by the Detrended Fluctuation Analysis (DFA). Our findings show strong evidence of long - memory persistence in the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH).

Keywords: Long – memory; Hurst exponent; DFA; Market efficiency (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:dug:journl:y:2016:i:1:p:83-91

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