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

Record type: Article

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.

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Citation

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.

More information

Published date: June 2007
Organisations: Centre of Excellence for International Banking, Finance & Accounting, Accounting

Identifiers

Local EPrints ID: 343112
URI: http://eprints.soton.ac.uk/id/eprint/343112
ISSN: 1605-9786
PURE UUID: ca86efc5-db6b-46cc-9462-01502f591617

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Date deposited: 26 Sep 2012 11:17
Last modified: 18 Jul 2017 05:24

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