This paper identifies four categories of formal stock market in Africa: South Africa, medium-sized markets, small new markets which have experienced rapid growth, and small new markets which have yet to take off. The hypothesis that a stock market price index follows a random walk is tested for...

This article investigates the impact on the spot market of trading in KOSPI 200 futures. Empirical results show that futures trading increases the speed at which information is impounded into spot market prices, reduces the persistence of information and increases spot market volatility. The...

The hypothesis that stock market price indices follow a random walk is tested for five European emerging markets, Greece, Hungary, Poland, Portugal and Turkey, using the multiple variance ratio test. In four of the markets, the random walk hypothesis is rejected because of autocorrelation in...

This paper provides tests of the random walk hypothesis for the Korean stock market over the period from March 1988 to December 1998. During this time there are five regimes of daily price limits. We use a sample of 55 actively traded stocks selected to cover a wide range of industries and with...

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...

Botswana has been one of the most rapidly growing economies in the world over the past three decades, and has avoided most of the economic problems faced by African countries. However, poverty continues to be a major economic and social issue. Data from national surveys carried out in 1985/86...

A “universal” fitting function has been recognized that makes use of the eigen-coordinates method (Physica A 285 (2000) 547) to accurately describe the distribution of ordered amplitudes within random sequences (taken from a diversity of sources). It is shown that sequences with a discrete...