Efficiency of the South African equity market

David McMillan and Pako Thupayagale

Applied Financial Economics Letters, 2008, vol. 4, issue 5, 327-330

Abstract: The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market.

Date: 2008
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DOI: 10.1080/17446540701720717

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