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- W2894733837 abstract "We examine the change in market efficiency of the South African Stock Exchange JSE FTSE All Share Index following the enhancement of its institutional and regulatory environments and the elimination of major barriers to entry that led to increase in capital flows into the stock market. We provide evidence that the All Share Index is informationally weak-form efficient for the time period of this study. When extending the trading test to include non-linearity for both yearly and five-year periods, we find overall increase in efficiency, particularly in the most recent years in our data. We find significant volatility clustering, implying that the South African market has not consistently compensated for its own risks as measured by time-varying volatility, making the prediction of stock market returns based on previous volatility information difficult." @default.
- W2894733837 created "2018-10-12" @default.
- W2894733837 date "2018-10-23" @default.
- W2894733837 modified "2023-10-14" @default.
- W2894733837 title "Market Efficiency, Thin Trading and Non-Linearity in Emerging Markets: Evidence from South Africa" @default.
- W2894733837 doi "https://doi.org/10.33423/jaf.v18i5.32" @default.
- W2894733837 hasPublicationYear "2018" @default.
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