Lawal, Adedoyin Isola and Somoye, Russel O. and Babajide, A. A (2017) Are African stock markets efficient? Evidence from wavelet unit root test for random walk. Economics Bulletin, 37 (4). pp. 1-16.
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Abstract
In this paper, we used the recently developed frequency based wavelet unit root test alongside a number of time domain unit root tests to examine the validity or otherwise of the random walk hypothesis for seven African largest markets. Unlike previous studies that affirms the validity of the random walk behaviour for African markets, our results reveal that when frequency domain is factored into stock market behaviour framework, evidence abound to reject the null of unit root test for each of the African markets studied. This implies that African markets are inefficient, contributes to growth and provide good opportunities for arbitrage trading. The results have critical implications for investors, policy makers as well as the academics
| Item Type: | Article |
|---|---|
| Subjects: | H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Law, Arts and Social Sciences > School of Social Sciences |
| Depositing User: | Mrs Hannah Akinwumi |
| Date Deposited: | 10 Jan 2018 12:56 |
| Last Modified: | 10 Jan 2018 12:56 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/9951 |
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