EuroEconomica, Vol 35, No 2 (2016)

Stationarity of African Stock Markets under an ESTAR framework

Emmanuel Numapau Gyamfi, Kwabena A Kyei, Ryan Gill



Objectives: The paper investigates the stationarity of eight indices on eight African stock markets.

Prior work:  We review the extant literature on the stationarity of African stock markets and build on the works of Zhang et al. (2012) and Smith and Dyakova (2014)

Approach: We use the non-linear ADF unit root test and the modified Wald type test under an ESTAR framework in our study.

Results: Our results show that both non-linear unit root tests fail to reject the null of unit root in all the markets but for Botswana.

Implications:  We infer from our results that the stock markets in Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia are non-stationary and hence weak-form efficient.

Value: Our work goes to agree with Choi and Moh (2007) who believe that, the presence of non-linear pattern in a data has no effect on the performance of a unit root test if the non-linear process is far from a unit root process. 

JEL Classification: C12, G14


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