IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v12y2002i7p475-484.html
   My bibliography  Save this article

African stock markets: multiple variance ratio tests of random walks

Author

Listed:
  • Graham Smith
  • Keith Jefferis
  • Hyun-Jung Ryoo

Abstract

This paper identifies four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take off. The hypothesis that a stock market price index follows a random walk is tested for South Africa, five medium-sized markets (Egypt, Kenya, Morocco, Nigeria and Zimbabwe) and two small new markets (Botswana and Mauritius) using the multiple variance ratio test of Chow and Denning (Journal of Econometrics, 58, 385-401, 1993). The hypothesis is rejected in seven of the markets because of autocorrelation of returns. For the South African market, the stock price index follows a random walk. The paper also suggests factors which may contribute to whether or not an equity market follows a random walk.

Suggested Citation

  • Graham Smith & Keith Jefferis & Hyun-Jung Ryoo, 2002. "African stock markets: multiple variance ratio tests of random walks," Applied Financial Economics, Taylor & Francis Journals, vol. 12(7), pages 475-484.
    • Handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:475-484
    DOI: 10.1080/09603100010009957
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100010009957
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603100010009957?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:12:y:2002:i:7:p:475-484. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.