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- Title
REVISITING THE EFFICIENT MARKET HYPOTHESIS FOR AFRICAN COUNTRIES: PANEL SURKSS TEST WITH A FOURIER FUNCTION.
- Authors
ZHANG, DONGXIANG; WU, TSUI-CHIH; CHANG, TSANGYAO; LEE, CHIA-HAO
- Abstract
This study applies the panel seeming unrelated regression of the Kapetanios-Shin-Snell (SURKSS) test with a Fourier function to investigate the time-series properties of stock prices in five African countries ( i.e. Egypt, Kenya, Morocco, South Africa and Tunisia) over the period of January 2000-April 2011. The empirical results from the univariate unit root and panel-based unit root tests indicate that unit root hypothesis can not be rejected for these five countries under study. However, results from the panel SURKSS test with a Fourier function indicate that unit root hypothesis can be rejected for Egypt and Morocco, two countries under study. Our results indicate that the weak-form efficient market hypothesis holds in the other three countries, namely, Kenya, South Africa and Tunisia.
- Subjects
MOROCCO; EGYPT; SOUTH Africa; EFFICIENT market theory; FOURIER analysis; TIME series analysis; STOCK prices; EMPIRICAL research
- Publication
South African Journal of Economics, 2012, Vol 80, Issue 3, p287
- ISSN
0038-2280
- Publication type
Article
- DOI
10.1111/j.1813-6982.2011.01314.x