Why African Stock Markets Should Formally Harmonise and Integrate Their Operations

African Review of Economics and Finance, Forthcoming

19 Pages Posted: 6 Aug 2012 Last revised: 7 Aug 2012

See all articles by Collins G. Ntim

Collins G. Ntim

University of Southampton Business School, UK; University of Southampton

Date Written: August 5, 2012

Abstract

Despite experiencing rapid growth in their number and size, existing evidence suggests that African stock markets remain highly fragmented, small, illiquid and technologically weak, severely affecting their informational efficiency. Therefore, this study attempts to empirically ascertain whether African stock markets can improve their informational efficiency by formally harmonising and integrating their operations. Employing parametric and non-parametric variance-ratios tests on 8 African continent-wide and 8 individual national daily share price indices from 1995 to 2011, we find that irrespective of the test employed, the returns of all the 8 African continent-wide indices investigated appear to have better normal distribution properties compared with the 8 individual national share price indices examined. We also report evidence of statistically significant weak form informational efficiency of the African continent-wide share price indices over the individual national share price indices irrespective of the test statistic used. Our results imply that formal harmonisation and integration of African stock markets may improve their informational efficiency.

Keywords: Harmonisation and integration, Efficiency, Share price indices, Stock markets, Africa

JEL Classification: G20

Suggested Citation

Ntim, Collins G., Why African Stock Markets Should Formally Harmonise and Integrate Their Operations (August 5, 2012). African Review of Economics and Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2124374

Collins G. Ntim (Contact Author)

University of Southampton Business School, UK ( email )

Southampton Business School
Highfield
Southampton, England SO17 IBJ
United Kingdom
+44 (0) 238059 4285 (Phone)
+44 (0) 238059 3844 (Fax)

HOME PAGE: http://www.southampton.ac.uk/business-school/about/staff/cgn1n11.page

University of Southampton ( email )

Southampton, SO17 1BJ
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
27
Abstract Views
432
PlumX Metrics