Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets

David de Villiers, Natalya Apopo, Andrew Phiri and David McMillan

Cogent Economics & Finance, 2020, vol. 8, issue 1, 1769348

Abstract: The purpose of this study is to examine the weak-form market efficiency hypothesis (EMH) for 8 African Frontier markets between 2001 and 2017. To achieve this purpose, we employ unit root testing procedures which are robust to both nonlinearities and smooth structural breaks, making this study the first of its kind for African markets. Our empirical findings suggest that, regardless of whether daily or weekly series are employed, most African frontier markets are not market efficient, in the weak sense form, with the exception of the Kenyan stock market and to a very much lesser extent the Botswana and South African stock series. Important policy and investor implications are drawn in our study.

Date: 2020
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Related works:
Working Paper: Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets (2018)
Working Paper: Unobserved structural shifts and asymmetries in the random walk model for stock returns in African frontier markets (2018)
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DOI: 10.1080/23322039.2020.1769348

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