Testing the weak-form market efficiency and the day of the week effects of some African countries

Enowbi Batuo, M., Guidi, F. and Kupukile, M. 2010. Testing the weak-form market efficiency and the day of the week effects of some African countries. The African Finance Journal. 12, pp. 1-26.

TitleTesting the weak-form market efficiency and the day of the week effects of some African countries
AuthorsEnowbi Batuo, M., Guidi, F. and Kupukile, M.
Abstract

The aims of this work are twofold. On the one hand, it aims to find evidence supporting the presence of the weak form efficiency of several emerging African stock markets by using both parametric as well as non parametric tests. The results indicate that none of the markets are characterised by random walks with the exception of the South African stock market. On the other hand, this study aims to detect the presence of the day of the week effects of these African stock markets. Results show the existence of day of the week effects, that is the typical negative Monday and Friday positive effects in several stock markets.

JournalThe African Finance Journal
Journal citation12, pp. 1-26
ISSN1605-9786
Year2010
PublisherAfrican Finance Association
Web address (URL)https://ideas.repec.org/a/afj/journl/v12y2010iconferencep1-26.html
Publication dates
Published2010

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