Equity Stock Markets in Africa: Empirical Evidence from the Random Walk Hypothesis

In this paper, weak-form market hypothesis is tested for some relevant African stock markets: Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa, Tunisia. Using daily and weekly data which span the period 2000 to 2012. We have used autocorrelation test, runs test, Augmented Dickey-Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) uniroot test and parametric and nonparametric multiple variance tests. The empirical results show that African stock markets are not weak-form efficient using daily data; the South African one is characterized by a martingale difference sequence. We find that most of the stock tend to comply with weak-form efficiency when weekly data are used.