An empirical re-examination of the weak form efficient markets hypothesis of the Ghana stock market using variance-ratios tests


Ntim, Collins G., Opong, Kwaku K. and Danbolt, Jo (2007) An empirical re-examination of the weak form efficient markets hypothesis of the Ghana stock market using variance-ratios tests African Finance Journal, 9, (2), pp. 1-25.

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Description/Abstract

This study empirically re-examines the weak form efficient markets hypothesis of the Ghana Stock Market using a new robust non-parametric variance-ratios test in addition to its parametric alternative. The main finding is that stock returns are conclusively not efficient in the weak form, neither from the perspective of the strict random walk nor in the relaxed martingale difference sequence sense. Unlike previous evidence, our finding is robust to thin-trading, sub-sample periods as well as the choice of dataset. Consistent with prior studies, the results of the parametric variance-ratios test are ambiguous. By contrast, its non-parametric alternative provides conclusive results.

Item Type: Article
ISSNs: 1605-9786 (print)
Related URLs:
Subjects:
Organisations: Centre of Excellence for International Banking, Finance & Accounting, Accounting
ePrint ID: 343112
Date :
Date Event
June 2007Published
Date Deposited: 26 Sep 2012 11:17
Last Modified: 17 Apr 2017 16:35
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/343112

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