Efficient market hypothesis: Evidence from the JSE equity and bond markets

Sinazo Guduza () and Andrew Phiri
Additional contact information
Sinazo Guduza: Department of Economics, Nelson Mandela University

No 1718, Working Papers from Department of Economics, Nelson Mandela University

Abstract: This study investigates weak form efficiency for 4 stock and 6 bond market return under the Johannesburg Stock Exchange (JSE) using monthly data spanning from 2002 to 2016. Our empirical strategy consists of using both individual and panel based unit root testing procedures. Moreover, we split our empirical data into two sub-samples corresponding to periods before and periods subsequent to the global financial crisis. Our empirical results point to an overwhelming evidence of weak form efficiency as the integration test fail to produce convincing evidence of unit root behaviour amongst the observed time series. The study thus confirms the efficiency of equities and debt markets in South Africa in light of the global financial crisis.

Keywords: Equity markets; Bond market; Efficient market hypothesis; unit root tests; Johannesburg Stock Exchange (JSE); South Africa. (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C23 G10 N27 (search for similar items in EconPapers)
Pages: 27 page
Date: 2017-12, Revised 2017-12
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://repec.mandela.ac.za/RePEc/mnd/wpaper/paper.1718.pdf First version, 2017 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Internal Server Error

Related works:
Working Paper: Efficient Market Hypothesis: Evidence from the JSE equity and bond markets (2017)
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:mnd:wpaper:1718

Access Statistics for this paper

More papers in Working Papers from Department of Economics, Nelson Mandela University Contact information at EDIRC.
Bibliographic data for series maintained by Andrew Phiri ().