Stock market : random walk or mean reverting?
This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three co...
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| Format: | Final Year Project Report / IMRAD |
| Language: | English |
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Universiti Malaysia Sarawak, (UNIMAS)
2011
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| Online Access: | http://ir.unimas.my/id/eprint/5295/ http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf |
| _version_ | 1848835631257485312 |
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| author | Sim, Gin Khai |
| author_facet | Sim, Gin Khai |
| author_sort | Sim, Gin Khai |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three conventional unit root tests show that the eight (8) African stock markets do not exhibit the mean reverting behavior. On the other hands, the results from the Lagrange Multiplier (LM) unit roots also show that all the tested African stock markets are consistent with EMH. Overall, all the tests have suggested the same verdict where all the tested African countries are under weak form efficiency. Hence, this study may suggest that all the tested African countries are ready to take up the obligation in leading other inefficient groups toward the financial integration within the Africa itself. |
| first_indexed | 2025-11-15T06:10:56Z |
| format | Final Year Project Report / IMRAD |
| id | unimas-5295 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:10:56Z |
| publishDate | 2011 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-52952024-02-09T02:47:51Z http://ir.unimas.my/id/eprint/5295/ Stock market : random walk or mean reverting? Sim, Gin Khai HB Economic Theory This study applies univariate as well as advanced unit root test for time series data to consider the Efficient Market Hypothesis (EMH) within eight (8) African stock markets. The stock prices data spanning from 1989:M7 till 2011:M3 is utilized for the stationarity tests. The results of the three conventional unit root tests show that the eight (8) African stock markets do not exhibit the mean reverting behavior. On the other hands, the results from the Lagrange Multiplier (LM) unit roots also show that all the tested African stock markets are consistent with EMH. Overall, all the tests have suggested the same verdict where all the tested African countries are under weak form efficiency. Hence, this study may suggest that all the tested African countries are ready to take up the obligation in leading other inefficient groups toward the financial integration within the Africa itself. Universiti Malaysia Sarawak, (UNIMAS) 2011 Final Year Project Report / IMRAD NonPeerReviewed text en http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf Sim, Gin Khai (2011) Stock market : random walk or mean reverting? [Final Year Project Report / IMRAD] (Unpublished) |
| spellingShingle | HB Economic Theory Sim, Gin Khai Stock market : random walk or mean reverting? |
| title | Stock market : random walk or mean reverting? |
| title_full | Stock market : random walk or mean reverting? |
| title_fullStr | Stock market : random walk or mean reverting? |
| title_full_unstemmed | Stock market : random walk or mean reverting? |
| title_short | Stock market : random walk or mean reverting? |
| title_sort | stock market : random walk or mean reverting? |
| topic | HB Economic Theory |
| url | http://ir.unimas.my/id/eprint/5295/ http://ir.unimas.my/id/eprint/5295/4/Sim%20Gin%20Khai%20%28fulltext%29.pdf |