African Emerging Equity Markets Re‐examined: Testing the Weak Form Efficiency Theory

Nwosu, Emmanuel O.; Orji, Anthony; Anagwu, Ogomegbunam

doi:10.1111/1467-8268.12044

Cited by 14 publications

(7 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Our findings, however, contradict Afego (2012) and Nwosu, Orji, & Anagwu (2013) who pointed out the vulnerability of the efficacy, at least, of the African stock market. A number of changes were enacted between 1999 and 2006 that sharpened Nigeria's economic life.…”

Section: Resultscontrasting

confidence: 99%

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

Lawal

Oseni

Asaleye³

et al. 2021

Asian Economic and Financial Review

View full text Add to dashboard Cite

This study re-examined the traditional research topic in finance-the efficient market hypothesis (EMH) within the context of a nonlinearity unit root test using daily data sourced on the Nigerian economy. This was premised on two key motivations. First, the study observed that most of the existing studies on EMH are based on an aggregate stock index and the presence of heterogeneity of listed firms on the floor of the exchange can make the results obtained from aggregate stock price-based tests misleading due to spuriousness. To overcome this, the study tested the validity of EMH at a sectorial level. The second motivation centers on the observed nonlinear property of the time series data used in the existing literature. The study first examines the unit root properties of the data by applying the Harvey, Leybourne, and Xiao ( 2008) methods. The results indicate rejections of the null hypothesis for all the series, an indication that stock market indices in Nigeria are nonlinear and asymmetric in nature. This suggests that results obtained from linear based models could be biased. In order to achieve more accurate results, the study applied the ESPAR model and observed that, overall, there is an abundance of evidence to show that the Nigerian stock exchange is mean reverting, thus investors are advised to adopt a contrarian investment strategy to maximize the opportunities in the market. Contribution/Originality:This study explored the validity of efficient market hypothesis in Nigeria within the context of nonlinear unit root estimates and observed that the market is mean reverting.

show abstract

Section: Resultscontrasting

confidence: 99%

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

Lawal

Oseni

Asaleye³

et al. 2021

Asian Economic and Financial Review

View full text Add to dashboard Cite

show abstract

“…For example, Magnusson and Wydick (2002) find evidence of weak form efficiency in Botswana, South Africa, Kenya, Nigeria and Mauritus whilst Appiah‐Kusi and Menyah (2003) find weak form efficiency in Morocco and Zimbabwe. On the contrary, Lagoarde‐Segot and Lucey (2008) find markets to be weak form inefficient in Tunisia, Egypt and Morocco whiles Nwosu, Orji, and Anagwu (2013) make similar findings in Egypt, South Africa, Kenya and Nigeria.…”

Section: Literature Reviewmentioning

confidence: 95%

Earnings informativeness and trading frequency: Evidence from African markets

Jones

Kyiu

2020

Int. J Fin Econ

View full text Add to dashboard Cite

We investigate the informativeness of earnings announcements in African stock markets and examine whether, conditional on the level of synchronicity and liquidity of stocks, market reactions are influenced by earnings characteristics. Normalized volatility indicates that earnings announcements are informative across the sample. The results are driven by less frequently traded stocks and informativeness manifests more clearly at announcement and in the post‐announcement window. There is little evidence of leakage. Informativeness is also present for highly traded stocks, notably after announcement. Cross‐sectional tests provide evidence of an effect of both earnings fundamentals and investor behaviour on stock returns around earnings announcements.

show abstract

“…The strong form efficiency states that the spot rate reflects all information from historical, public and private sources, so that no economic agent can realize the abnormal rate of return. Similar studies such as Auld and Linton (2019), Nwosu et al (2014), Stershic and Gujral (2020), and Titan (2015), also discussed these three forms of market efficiency.…”

Section: Literature Reviewmentioning

confidence: 72%

Efficiency of Tanzania's foreign exchange market

Epaphra

Kazungu

2021

African Development Review

View full text Add to dashboard Cite

This paper examines market efficiency in the foreign exchange market in Tanzania. A nonlinear Markov switching model was used to analyse the Tanzanian shilling against the US dollar spanning from 2 January 2009 to 30 April 2020. The estimation period was 2 January 2009–28 May 2019, and the post‐sample forecast period was 28 May 2019–30 April 2020. From the results of the two‐state Markov switching model, we define State 1, which is more volatile, as the inefficient state and State 2, which is less volatile, as the efficient one. In the unconditional probabilities from the Markov switching model, the exchange rate has a 94% probability in the inefficient state, which indicates that 94% of all speculators fully extract information when predicting future exchange rates, while 30% of all investors do not; suggesting that the foreign exchange market undergoes conditions of efficiency and inefficiency. In addition, findings showed that the exchange rate is expected to spend approximately 18 days in regime 1 and 8 days in regime 2. The policy implication of these findings is that foreign exchange market participants should pay attention to regimes and underlying market conditions when designing and applying their investment strategies.

show abstract

African Emerging Equity Markets Re‐examined: Testing the Weak Form Efficiency Theory

Cited by 14 publications

References 37 publications

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

Is the Stock Market Efficient? Evidence from Nonlinear Unit Root Tests for Nigeria

Earnings informativeness and trading frequency: Evidence from African markets

Efficiency of Tanzania's foreign exchange market

Contact Info

Product

Resources

About