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Efficient Market Hypothesis: Evidence from the JSE equity and bond markets

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  • Guduza, Sinazo
  • Phiri, Andrew

Abstract

This study investigates weak form efficiency for 4 stock and 7 bond market return under the Johannesburg Stock Exchange (JSE) using monthly data spanning from 2002 to 2016. Our empirical strategy consists of using both individual and panel based unit root testing procedures. Moreover, we split our empirical data into two sub-samples corresponding to periods before and periods subsequent to the global financial crisis. Our empirical results point to an overwhelming evidence of weak form efficiency as the integration test fail to produce convincing evidence of unit root behaviour amongst the observed time series. The study thus confirms the efficiency of equities and debt markets in South Africa in light of the global financial crisis.

Suggested Citation

  • Guduza, Sinazo & Phiri, Andrew, 2017. "Efficient Market Hypothesis: Evidence from the JSE equity and bond markets," MPRA Paper 83487, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:83487
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    More about this item

    Keywords

    Equity markets; Bond market; Efficient market hypothesis; unit root tests; Johannesburg Stock Exchange (JSE); South Africa;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • N27 - Economic History - - Financial Markets and Institutions - - - Africa; Oceania

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