Record Details

Why African Stock Markets Should Formally Harmonise and Integrate their Operations

African Review of Economics and Finance

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Field Value
 
Title Why African Stock Markets Should Formally Harmonise and Integrate their Operations
 
Creator Ntim, CG
 
Subject Harmonisation and integration, Efficiency, Share price indices, Stock markets, Africa
 
Description Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether African stock markets can improve their informational efficiency by formally harmonising and integrating their operations. Employing parametric and non-parametric variance-ratios tests on 8 African continent-wide and 8 individual national daily share price indices from 1995 to 2011, we find that irrespective of the test employed, the returns of all the 8 African continent-wide indices investigated appear to have better normal distribution properties compared with the 8 individual national share price indices examined. We also report evidence of statistically significant weak form informational efficiency of the African continent-wide share price indices over the individual national share price indices irrespective of the test statistic used. Our results imply that formal harmonisation and integration of African stock markets may improve their informational efficiency.

Keywords: Harmonisation and integration, Efficiency, Share price indices, Stock markets, Africa
 
Publisher Rhodes University
 
Contributor —
 
Date 2013-03-29
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://www.ajol.info/index.php/aref/article/view/86968
 
Source African Review of Economics and Finance; Vol 4, No 1 (2012); 53-72
2042-1478
 
Language eng
 
Relation https://www.ajol.info/index.php/aref/article/view/86968/76747
 
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