African stock markets: multiple variance ratio tests of random walks

By Graham Smith, K. Jefferis, Hyun-Jung Ryoo. 2002

214 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ddfaf659549719f37b64f5a76bbaf44b3b98db38

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Citations in the corpus

Efficient market hypothesis in European stock markets (2008, background): “…markets and regional markets, such as Latin America (Urrutia 1995; Grieb and Reyes 1999; Charles and Darné 2009), Africa (Magnusson and Wydick 2002; Smith, Jefferis, and Ryoo 2002), Asia (Huang 1995; Groenewold and Ariff 1998; Kim and Shamsuddin 2008a), Middle East (Abraham, Seyyed, and Alsakran…”
Random walks and market efficiency in European equity markets (2004, background): “Grieb and Reyes 1999, Karemera et al. 1999), Africa (Smith et al. 2002, Appiah-Kusi and Menyah 2003) and the Middle East (Abraham et al. 2002) have been addressed in this manner.”
VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW (2009, unknown): “…emerging markets: Asian markets (Kim and Shamsuddin, 2008; Hoque et al., 2007), Eastern European markets (Smith and Ryoo, 2003), African markets (Smith et al., 2002; Al-Khazali et al., 2007; Lagoarde-Segot and Lucey, 2008) and Latin American markets (Chaudhuri and Wu, 2003; Chang et al., 2004).”
Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates (2012, background): “…Melvin, 2004); (ii) the exchange rates are not set at the equilibrium level due to distortions in the pricing of capital and the valuing of risk (Smith et al., 2002); (iii) the emergence of a parallel/black market due to the existence of the exchange rate controls and resulting divergence…”
THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS (2005, methodology): “This corresponds with the findings of Smith et al (2002), who tested whether eight African stock markets follow a random walk using multiple variance ratio tests.”
Weak Form Efficiency In Indian Stock Markets (2011, background): “au 5 1988), China, (lee et al 2001; find that volatility is highly persistent and is predictable, authors use GARCH and EGARCH models in this study), Hong Kong (Cheung and Coutts 2001; authors use a variance ratio test in this study and find that Hang Seng index on the Hong Kong stock exchange follo”