Guduza, Sinazo and Phiri, Andrew (2017): Efficient Market Hypothesis: Evidence from the JSE equity and bond markets.
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Abstract
This study investigates weak form efficiency for 4 stock and 7 bond market return under the Johannesburg Stock Exchange (JSE) using monthly data spanning from 2002 to 2016. Our empirical strategy consists of using both individual and panel based unit root testing procedures. Moreover, we split our empirical data into two sub-samples corresponding to periods before and periods subsequent to the global financial crisis. Our empirical results point to an overwhelming evidence of weak form efficiency as the integration test fail to produce convincing evidence of unit root behaviour amongst the observed time series. The study thus confirms the efficiency of equities and debt markets in South Africa in light of the global financial crisis.
Item Type: | MPRA Paper |
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Original Title: | Efficient Market Hypothesis: Evidence from the JSE equity and bond markets |
Language: | English |
Keywords: | Equity markets, Bond market; Efficient market hypothesis; unit root tests; Johannesburg Stock Exchange (JSE); South Africa |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models G - Financial Economics > G1 - General Financial Markets > G10 - General N - Economic History > N2 - Financial Markets and Institutions > N27 - Africa ; Oceania |
Item ID: | 83487 |
Depositing User: | Dr. Andrew Phiri |
Date Deposited: | 26 Dec 2017 13:34 |
Last Modified: | 26 Sep 2019 10:19 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/83487 |