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- W2252995735 abstract "This study investigates the weak form efficient market hypothesis (EMH) for five generalized stock indices in the Johannesburg Stock Exchange (JSE) using weekly data collected from 31st January 2000 to 16th December 2014. In particular, we test for weak form market efficiency using a battery of linear and nonlinear unit root testing procedures comprising of the classical augmented Dickey-Fuller (ADF) tests, the two-regime threshold autoregressive (TAR) unit root tests described in Enders and Granger (1998) as well as the three-regime unit root tests described in Bec, Salem, and Carrasco (2004). Based on our empirical analysis, we are able to demonstrate that whilst the linear unit root tests advocate for unit roots within the time series, the nonlinear unit root tests suggest that most stock indices are threshold stationary processes. These results bridge two opposing contentions obtained from previous studies by concluding that under a linear framework the JSE stock indices offer support in favour of weak form market efficiency whereas when nonlinearity is accounted for, a majority of the indices violate the weak form EMH." @default.
- W2252995735 created "2016-06-24" @default.
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- W2252995735 date "2015-12-01" @default.
- W2252995735 modified "2023-10-14" @default.
- W2252995735 title "Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests" @default.
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