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

Ntim, Collins G., Opong, Kwaku K. and Danbolt, Jo (2007) An Emperical Re-Examination of the Weak Form Efficient Markets Hypothesis of The Ghana Stock Market Using Variance-Ratios Tests. African Finance Journal, 9 (2). pp. 1-25.

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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.

Item Type: Article
Subjects: H Social Sciences > H Social Sciences (General)
H Social Sciences > HG Finance
Schools: The Business School
The Business School > Quantitative Analysis Research Group
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Depositing User: Sara Taylor
Date Deposited: 30 Jan 2014 16:52
Last Modified: 03 Nov 2015 15:49
URI: http://eprints.hud.ac.uk/id/eprint/19566

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