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Long - Memory Persistence in African Stock Markets

Author

Listed:
  • Emmanuel Numapau Gyamfi

    (University of Venda)

  • Kwabena Kyei

    (University of Venda)

  • Kwabena Kyei

    (University of Louisville)

Abstract

Emerging stock markets are said to become efficient with time. This study seeks to investigate this assertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28 August 2000 to 28 August 2015. The Hurst exponent is used as our efficiency measure which is evaluated by the Detrended Fluctuation Analysis (DFA). Our findings show strong evidence of long - memory persistence in the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH).

Suggested Citation

  • Emmanuel Numapau Gyamfi & Kwabena Kyei & Kwabena Kyei, 2016. "Long - Memory Persistence in African Stock Markets," EuroEconomica, Danubius University of Galati, issue 1(35), pages 83-91, may.
    • Handle: RePEc:dug:journl:y:2016:i:1:p:83-91
    as

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    File URL: http://journals.univ-danubius.ro/index.php/euroeconomica/article/view/3207/3253
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    References listed on IDEAS

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