TESTING WEAK-FORM MARKET EFFICIENCY IN EMERGING MARKET: EVIDENCE FROM BOTSWANA STOCK EXCHANGE

Sabur Mollah ()

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 06, 1077-1094

Abstract: Market efficiency is an area of enormous interest in financial literature. Numerous researchers conducted empirical studies in testing weak-form market efficiency in several stock markets and employed various techniques but the empirical evidence is controversial. Triangulation econometric approach is employed to assess the predictability of daily return series of Botswana Stock Exchange (BSE) and to test the null hypothesis of random walk model. The empirical results reject the null hypothesis of random walk model for the daily return series of BSE for the period of 1989–2005 and evidenced serial autocorrelation of return series, which clearly indicate predictability and volatility of security prices of Botswana market. However, the empirical evidence of both non-parametric (Kolmogrov–Smirnov: normality test and run test) and parametric test (Auto-correlation test, Auto-regressive model, ARIMA model) reject the hypothesis of random walk model and indeed violate the notion of weak-form market efficiency.

Keywords: Weak-form market efficiency; emerging market (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (10)

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DOI: 10.1142/S021902490700455X

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