Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/245320 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2020 [Pages:] 1-21
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
The purpose of this study is to examine the weak-form market efficiency hypothesis (EMH) for 8 African Frontier markets between 2001 and 2017. To achieve this purpose, we employ unit root testing procedures which are robust to both nonlinearities and smooth structural breaks, making this study the first of its kind for African markets. Our empirical findings suggest that, regardless of whether daily or weekly series are employed, most African frontier markets are not market efficient, in the weak sense form, with the exception of the Kenyan stock market and to a very much lesser extent the Botswana and South African stock series. Important policy and investor implications are drawn in our study.
Schlagwörter: 
Africa
efficient market hypothesis (EMH)
unit roots
nonlinearities
unobservedstructural breaks
Fourier approximation
JEL: 
C21
C22
C51
G14
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