n African Finance Journal - Testing the weak-form market efficiency and the day of the week effects of some African countries
|Article Title||Testing the weak-form market efficiency and the day of the week effects of some African countries|
|© Publisher:||AfricaGrowth Institute|
|Journal||African Finance Journal|
|Author||Michael Batuo Enowbi, Francesco Guidi and Kupukile Mlambo|
|Publication Date||Jan 2010|
|Pages||1 - 26|
|Issue||Special issue 1|
|Keyword(s)||African stock markets, Day of the week effects, G14, G15 and Random walk hypothesis|
The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is, the typical negative Monday and Friday positive effects in several stock markets.
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