EuroEconomica, Vol 35, No 1 (2016)

Long - memory persistence in African Stock Markets

Emmanuel Numapau Gyamfi, Kwabena Kyei, Ryan Gill


Emerging stock markets are said to become efficient with time. This study seeks to investigate this assertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28 August 2000 to 28 August 2015.

The Hurst exponent is used as our efficiency measure which is evaluated by the Detrended Fluctuation Analysis (DFA).

Our findings show strong evidence of long - memory persistence in the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH).


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