Are African Stock Markets Efficient? A Comparative Analysis Between Six African Markets, the UK, Japan and the USA in the Period of the Pandemic
Povzetek
Namen te študije je preizkusiti in primerjati hipotezo učinkovitega trga v njeni šibki obliki na borznih trgih Bocvane, Egipta, Kenije, Maroka, Nigerije, Južne Afrike, Japonske, Združenega kraljestva in ZDA od 2. septembra 2019 do 2. septembra 2020. Študija temelji na naslednjem raziskovalnem vprašanju: Ali je globalna pandemija (covida-19) v svoji šibki obliki zmanjšala učinkovitost afriških finančnih trgov v primerjavi z razvitimi trgi Združenega kraljestva, Japonske in ZDA? Rezultati potrju- jejo dokaze, da finančni trgi, analizirani v obdobju te globalne pandemije, ne podpirajo hipoteze naključnega sprehoda. Vred- nosti variančnih razmerij so nižje od ena, kar pomeni, da se donosi sčasoma samokorelirajo. Ugotovljen je bil tudi povratek k povprečju, pri čemer razlike med razvitimi finančnimi trgi in tistimi, ki so v vzponu, niso bile prepoznane. To potrjujejo eksponenti detrendne analize fluktuacije (DFA), ki prikazujejo, da finančni trgi kažejo znake (ne)učinkovitosti v svoji šibki obliki, kar kaže na obstojnost donosa. S tem implicirajo obstoj dolgih spominov in potrjujejo rezultate Wrightovega (2000) testa variance, kar dokazuje zavrnitev hipoteze slučajnega hoda.
Prenosi
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