Empirical Evaluation of Weak-Form Efficient Market Hypothesis in Ugandan Securities Exchange

Journal of Contemporary Economic and Business Issues, Volume 5, Number 1, Pages 35-50, 2018

16 Pages Posted: 5 Jun 2020

See all articles by Kalu O. Emenike

Kalu O. Emenike

University of Swaziland - Department of Accounting and Finance

Joseph K. B. Kirabo

Kampala Innternational University - Department of Accounting and Finance

Date Written: February 5, 2018

Abstract

Efficient stock market plays important role in stimulating economic development through providing channel for mobilising domestic savings and facilitating the allocation of financial resources from dormant to more productive activities. This paper evaluates the Ugandan Securities Exchange (USE) for evidence of weak-form efficient market hypothesis in the context of random walk model, using both linear and non-linear models. Preliminary analysis from the USE daily returns, for the 01 September 2011 to 31 December 2016 period, show negative skewness, leptokurtosis, and non-normal distribution. Estimates from the linear models show evidence of weak-form efficiency. Conversely, estimates from non-linear models show evidence against weak-form efficiency of the USE. The study concludes that USE returns may only be predicted using non-linear models and fundamental analysis. In order words, linear models and technical analysis may be clueless for predicting future returns.

Keywords: Weak-form efficiency, random walk, linear and non-linear models, Ugandan securities exchange

JEL Classification: G14

Suggested Citation

Emenike, kalu Onwukwe and Kirabo, Joseph K. B., Empirical Evaluation of Weak-Form Efficient Market Hypothesis in Ugandan Securities Exchange (February 5, 2018). Journal of Contemporary Economic and Business Issues, Volume 5, Number 1, Pages 35-50, 2018, Available at SSRN: https://ssrn.com/abstract=3596180

Kalu Onwukwe Emenike (Contact Author)

University of Swaziland - Department of Accounting and Finance ( email )

Swaziland

Joseph K. B. Kirabo

Kampala Innternational University - Department of Accounting and Finance ( email )

Box 20000
Kansanga
Kampala
Uganda

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