Work

An Empirical Re-Examination of the Weak Form Efficient Markets Hypothesis of the Ghana Stock Market Using Variance-Ratios Tests

Year: 2007

Type: article

Abstract: 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.

Source: ePrints Soton (University of Southampton)

Authors: Collins G. Ntim, Kwaku K. Opong, Jo Danbolt

Institutions: University of Southampton, University of Glasgow, University of Edinburgh

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1547799524

FWCI: 2.366

Cites: 32

Cited by: 23

Related to: 10