Josephine Njuguna
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2 publications
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Testing the efficient market hypothesis on the Nairobi Securities Exchange
Josephine Njuguna doi: http://dx.doi.org/10.21511/imfi.13(3).2016.06Investment Management and Financial Innovations Volume 13, 2016 Issue #3 pp. 75-83
Views: 1120 Downloads: 796 TO CITEThis paper tests the weak-form of the efficient market hypothesis (EMH) of the Nairobi Securities Exchange (NSE) using daily and weekly index data from the NSE 20 share index over the period, January 2001 to January 2015 and the NSE All Share Index (ASI) from its initiation, in February 2008 to January 2015. To test weak-form efficiency in this market, this study uses the serial correlation test, unit root tests (ADF and Phillips-Perron) and runs test. Results indicate that we cannot accept the EMH for the NSE using the serial correlation test, unit root tests and the runs test. Overall, the Kenyan market is found to not be weak-form efficient
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The market efficiency of the Tanzania stock market
Josephine Njuguna doi: http://dx.doi.org/10.21511/bbs.11(3).2016.08The purpose of this article is to examine the efficiency of the Tanzania stock market. The study attempts to answer whether the Tanzania stock market is weak-form efficient. The study applies a battery of tests: the serial correlation test, unit root tests, runs test and the variance ratio test using daily and weekly data with a sample spanning from November 2006 to August 2015 for the Dar es Salaam Stock Exchange (DSE) all share index and from January 2009 to August 2015 for the DSE share index. Overall, the results of the market efficiency are mixed. The serial correlation test, unit root test and the runs test do not support weak-form efficiency, while the more robust variance ratio test supports weak-form efficiency for the DSE. The main contribution of the study is that the market efficiency of the Tanzania stock market has increased over the sample period.
Keywords: adaptive market hypothesis, efficiency market hypothesis, serial correlations test, unit root test, runs test, variance ratio test, Dar es Salaam Stock Exchange.
JEL Classification: G14, G15