An empirical re-examination of the weak form efficient markets hypothesis of the Ghana stock market using variance-ratios tests

Ntim, C., Opong, K. and Danbolt, J. (2007) An empirical 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.

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: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Opong, Professor Kwaku and Ntim, Professor Collins and Danbolt, Prof Jo
• Authors: Ntim, C., Opong, K., and Danbolt, J.
• College/School: College of Social Sciences > Adam Smith Business School > Accounting and Finance
• Journal Name: African Finance Journal
• ISSN: 1605-9786

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