Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2007): Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange.
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This paper examines the weak-form efficient market hypothesis (EMH) in the case of the Ghana Stock Exchange (GSE) an emerging market. Daily returns from the Databank Stock Index (DSI) over a 5-year period 1999-2004 were used for the exercise. Random walk (RW) and GARCH(1,1) models are used as the basis for our analysis. The GSE DSI returns series exhibit volatility clustering, an indication of inefficiency on the GSE. The weak-form efficient market (random walk) hypothesis was rejected for the GSE, meaning that the market is inefficient. The inefficient market has important implications for investors, both domestic and international. Knowledge of profitable arbitrage opportunities due to market predictability serves to attract investors to diversify from more efficient markets to invest on the GSE bourse to increase their returns.
|Item Type:||MPRA Paper|
|Original Title:||Market Returns and Weak-Form Efficiency: the case of the Ghana Stock Exchange|
|Keywords:||Ghana Stock Exchange; FINSAP; efficient market hypothesis; nonlinearity test|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Eric Fosu Oteng-Abayie|
|Date Deposited:||09. Mar 2008 16:55|
|Last Modified:||07. Jan 2014 19:49|
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