n AfricaGrowth Agenda - Is market automation associated with improved informational efficiency? Case study of the Nairobi Stock Exchange

Volume 2016, Issue 07
  • ISSN : 1811-5187


The 2006 automation of the Nairobi Stock Exchange (NSE) was expected to improve the informational efficiency of the market. This paper seeks to empirically establish if the previous assertion was achieved using daily NSE 20-share index data from January 2001 to December 2011. Results of the autocorrelation, variance ratio and BDS tests suggest that the market is inefficient. However, the results of the Hurst ratio indicate an improvement in efficiency with the ratio close to 0.5. The results are mixed but, in general they indicate that automation has not improved the efficiency of the market.

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