The efficient market hypothesis: Evidence from ten African stock markets

Mlambo, Chipo; Biekpe, Nicholas

doi:10.1080/10293523.2007.11082489

Cited by 53 publications

(50 citation statements)

References 15 publications

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“…Similarly, in a study conducted on the influence of political news events on share market activity, van der Merwe and Smit (1997) found South African political news events explained 1% to 23% of movement in share prices. These findings were consistent with the findings of Mlambo and Biekpe (2007), who tested the EMH and found inefficiencies using evidence from ten African stock markets.…”

Section: Theory and Literature Reviewsupporting

confidence: 81%

The information content of the Financial Mail’s “Top Companies” announcements

Esterhuysen

Ward

2011

South African Journal of Accounting Research

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Investors look beyond accounting and financial data and incorporate factors relating to morality, society, the environment and corporate governance (inter alia) in making their investment choices. This study examines the share price performance of South African companies which best comply with the financial and qualitative criteria as prescribed in the Financial Mail's "Top Companies" publication.Using event-study methodology, the abnormal and cumulative abnormal returns of companies recommended by analysts as "Top Companies" were examined. Positive, significant excess cumulative returns were observed for new entrants to the "Top Companies" sample after the publication date. Thereafter, negative returns were observed for the long-term post-publication holding period of up to 200 trading days.The results suggest that any new information related to the criteria in the FM "Top Companies" publication is of value, but only to short-term traders with low transaction costs. Long-term investors who buy these shares based on the recommendations of the FM analysts generally receive below market rates of return, suggesting that once companies have made it into the list, the value is overstated.

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Section: Theory and Literature Reviewsupporting

confidence: 81%

The information content of the Financial Mail’s “Top Companies” announcements

Esterhuysen

Ward

2011

South African Journal of Accounting Research

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“…A number of academics support this approach e.g. Bowie (1994) and Mlambo and Biekpe (2007). This approach is however, not expected to remove 5 The adjusted trade-to-trade returns are calculate as follows:…”

Section: Discussionmentioning

confidence: 99%

Testing The Random Walk (Rw) Behaviour of Botswana’s Equity Returns

Radikoko

2014

JBTP

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“…It is considered to be a linear test and it can also detect non-linearity in a returns series, although the results differ from the linear test. Moreover, this test is not affected by any extreme values in the return series, therefore, it does not require constant variance of the data (Mlambo and Biekpe, 2007). It serves as a good complement to the serial correlation test, because, while serial correlation coefficients may be significantly affected by a single outlier, the results from the runs test are not seriously affected by a few outliers.…”

Section: Runs Test the Null Hypotheses For The Runs Test Arementioning

confidence: 99%

Testing the efficient market hypothesis on the Nairobi Securities Exchange

Njuguna

2016

Investment Management and Financial Innovations

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This paper tests the weak-form of the efficient market hypothesis (EMH) of the Nairobi Securities Exchange (NSE) using daily and weekly index data from the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. To test weak-form efficiency in this market, this study uses the serial correlation test, unit root tests (ADF and Phillips-Perron) and runs test. Results indicate that we cannot accept the EMH for the NSE using the serial correlation test, unit root tests and the runs test. Overall, the Kenyan market is found to not be weak-form efficient.

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The efficient market hypothesis: Evidence from ten African stock markets

Cited by 53 publications

References 15 publications

The information content of the Financial Mail’s “Top Companies” announcements

The information content of the Financial Mail’s “Top Companies” announcements

Testing The Random Walk (Rw) Behaviour of Botswana’s Equity Returns

Testing the efficient market hypothesis on the Nairobi Securities Exchange

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