20.500.12556/DKUM-84540-dc21b6be-e618-ab30-42bf-c18949046442 Are African stock markets efficient? a comparative analysis between six African markets, the UK, Japan and the USA in the period of the pandemic Ali so afriški borzni trgi učinkoviti? primerjalna analiza med šestimi afriškimi trgi, Združenim kraljestvom, Japonsko in ZDA v obdobju pandemije The aim of this study is to test and compare the efficient market hypothesis, in its weak form, on the stock markets of Botswana, Egypt, Kenya, Morocco, Nigeria, South Africa, Japan, the UK and the USA from 2 September 2019 to 2 September 2020. This study is based on the following research question: has the global pandemic (COVID-19) reduced the efficiency – in its weak form – of African financial markets compared to the mature markets of the UK, Japan and the USA? The results sustain the evidence that the random walk hypothesis is not supported by the financial markets analysed in the period of the global pandemic. The variance ratio values are lower than the unit, which implies that the returns are self-correlated over time. A reversion to the average is also observed, with no differences identified between mature and emerging financial markets. In corroboration, the Detrended Fluctuation Analysis (DFA) exponents show that the financial markets present signs of (in)efficiency in its weak form, thus showing persistence in the yields. This therefore implies the existence of long memories validating the results of the variance using the Wright’s Rank and Signs Test (2000), which prove the rejection of the random walk hypothesis. 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 potrjujejo dokaze, da finančni trgi, analizirani v obdobju te globalne pandemije, ne podpirajo hipoteze naključnega sprehoda. Vrednosti 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. African stock markets efficient market hypothesis mean reversion random walk afriški borzni trgi hipoteza učinkovitega trga povprečna reverzija naključni sprehod true false true Angleški jezik Slovenski jezik Znanstveno delo 2023-06-19 16:21:32 2023-06-19 16:21:32 2025-06-06 03:05:54 0000-00-00 00:00:00 2022 0 0 str. 35-51 no. 1 Vol. 68 2022 0000-00-00 Zaloznikova Objavljeno NiDoloceno 0000-00-00 0000-00-00 2022-04-13 336.761:005.931.11 127659011 10.2478/ngoe-2022-0004 0547-3101 http://www.ng-epf.si/index.php/ngoe/article/view/282/276 1 bed2a381-0eac-11ee-9241-00155d000105 https://dk.um.si/Dokument.php?lang=slv&id=168143 http://www.ng-epf.si/index.php/ngoe/article/view/282/276 1 83457759-4218-11f0-9cf0-00155d000105 https://dk.um.si/Dokument.php?lang=slv&id=191835 http://www.ng-epf.si/index.php/ngoe/article/view/282/276 1 a3768c31-0eac-11ee-9241-00155d000105 https://dk.um.si/Dokument.php?lang=slv&id=168142 Ekonomsko-poslovna fakulteta Naše gospodarstvo 0 0 0