Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange
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Elsevier
2024
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| Accesso online: | https://scholar.mzumbe.ac.tz/handle/123456789/1008 |
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| _version_ | 1820347762499125248 |
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| author | Komba, Gabriel Vitus Guney, Yilmaz |
| author_facet | Komba, Gabriel Vitus Guney, Yilmaz |
| author_sort | Komba, Gabriel Vitus |
| collection | DSpace |
| description | Nil |
| id | oai:41.59.85.69:123456789-1008 |
| institution | Mzumbe University |
| publishDate | 2024 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | oai:41.59.85.69:123456789-10082024-07-31T11:10:49Z Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange Komba, Gabriel Vitus Guney, Yilmaz Dar es Salaam Stock Exchange Weak form market efficiency ADF Variance ratio Ranks and Sign test Tanzanian stock market Augmented Dickey-Fuller test Variance-ratio test price and return indices Nil This paper investigates into the weak-form efficiency of the Dar es Salaam Stock Exchange (DSE), a frontier market, in Tanzania. The study covers the period from January 2007 to December 2014. To establish the consistency and robustness of the obtained conclusions, we employ different tests (i.e., Augmented Dickey-Fuller test, Variance-ratio test, and Ranks and Sign test) to examine the hypothesis that the returns based on the price and return indices follow a random walk process. The results provide convincing evidence that returns series based on price indices indeed follow a random walk. However, when the same tests are performed for the returns based on the return indices, the findings reveal that these series are not weak-form efficient, suggesting that investors might be able to predict future returns based on the current and past data. Private 2024-07-31T11:10:46Z 2024-07-31T11:10:46Z 2016 https://scholar.mzumbe.ac.tz/handle/123456789/1008 application/pdf Elsevier |
| spellingShingle | Dar es Salaam Stock Exchange Weak form market efficiency ADF Variance ratio Ranks and Sign test Tanzanian stock market Augmented Dickey-Fuller test Variance-ratio test price and return indices Komba, Gabriel Vitus Guney, Yilmaz Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title | Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title_full | Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title_fullStr | Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title_full_unstemmed | Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title_short | Testing for the weak-form market efficiency of the Dar es Salaam Stock Exchange |
| title_sort | testing for the weak form market efficiency of the dar es salaam stock exchange |
| topic | Dar es Salaam Stock Exchange Weak form market efficiency ADF Variance ratio Ranks and Sign test Tanzanian stock market Augmented Dickey-Fuller test Variance-ratio test price and return indices |
| url | https://scholar.mzumbe.ac.tz/handle/123456789/1008 |
| work_keys_str_mv | AT kombagabrielvitus testingfortheweakformmarketefficiencyofthedaressalaamstockexchange AT guneyyilmaz testingfortheweakformmarketefficiencyofthedaressalaamstockexchange |