Investigating the weak and semi-strong forms of Informational Efficiency on the West African Economic and Monetary Union’s Stock Exchange (BRVM) through returns predictability tests

Daouda Lawa Tan Toe (), Mamadou Toe () and Tibi Didier Zoungrana ()
Additional contact information
Daouda Lawa Tan Toe: University Thomas Sankara
Mamadou Toe: University Thomas Sankara
Tibi Didier Zoungrana: University Thomas Sankara

SN Business & Economics, 2023, vol. 3, issue 9, 1-27

Abstract: Abstract This study uses data from the BRVM and BCEAO databases collected between 1998 and 2020 to analyze the weak and semi-strong forms of the informational efficiency in the BRVM exchange. To examine the weak form of efficiency, the Augmented Dickey Fuller test, the Runs test, and the variance ratio are used. For the semi-strong form, the Johansen (1991) cointegration test and Granger causality tests are used. The results indicate that the BRVM is inefficient in the weak form because the Augmented Dickey Fuller (ADF) tests indicate the absence of a unit root and the variance ratio and runs test do not reject the random walk hypothesis. In the semi-strong form, the Johansen cointegration test and the Granger causality test are convergent and show that macroeconomic factors such as the money supply M1 and M2 have predictive power for stock prices in the BRVM.

Keywords: Market efficiency; Returns; Predictability tests; BRVM; WAEMU (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43546-023-00550-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:snbeco:v:3:y:2023:i:9:d:10.1007_s43546-023-00550-0

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-023-00550-0

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().