This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH approach with time-varying parameters, a test of...

The paper examines long memory in equity returns and volatility for stock markets in Botswana, South Africa and Zimbabwe using the ARFIMA-FIGARCH model in order to assess the efficiency of these markets in processing information. The findings are diverse. Significant long memory is demonstrated...

The weak form of the efficient markets hypothesis is tested for eight African stock markets using three finite-sample variance ratio tests. A rolling window captures short-horizon predictability, tracks changes in predictability and is used to rank markets by relative predictability. These stock...

The hypothesis that a stock market price index follows a random walk is tested for 11 African stock markets, Botswana, Côte d'Ivoire, Egypt, Ghana, Kenya, Mauritius, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe using joint variance ratio tests with finite-sample critical values, over...

The hypothesis that stock futures follow a random walk is tested for four stock index futures and a sample of 36 single stock futures traded on the JSE Securities Exchange, South Africa, using joint variance ratio tests based on "(i)" ranks and signs and "(ii)" wild bootstrapping. Overall, there...