Thesis (MDF (Development Finance))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This study examines whether there is a solution to the challenges being faced in the capital markets in Zambia. Literature on how other countries have overcome these challenges is reviewed to determine whether there is a solution to these challenges. The study also tests for the market efficiency of the Lusaka Stock Exchange (LuSE). The Random Walk Model is used to test for weak form efficiency using the Augmented Dickey-Fuller (ADF) Test. The ADF Test is conducted for the period May 1995 to October 2008 using individual stocks, depending on the date the stock was listed on the LuSE. The result of this study shows that there is a solution to some of the challenges being faced in the capital markets in Zambia. The results also show that the LuSE market is a weak form of efficiency. / AFRIKAANSE OPSOMMING: Hierdie studie ondersoek die vraag of daar ʼn oplossing is vir die uitdagings waardeur die kapitaalmarkte in Zambië in die gesig gestaar word. Literatuur oor hoe ander lande hierdie uitdagings te bowe gekom het, word nagegaan om te bepaal of daar ʼn oplossing is vir dié uitdagings. Die studie toets voorts die markdoeltreffendheid van die Lusaka-aandelebeurs (LuSE). Die stogastiese bewegingsteorie word gebruik om met behulp van die Augmented Dickey-Fuller (ADF)-toets vir swak vormdoeltreffendheid te toets. Die ADF-toets is met behulp van individuele effekte gedurende die tydperk Mei 1995 tot Oktober 2008 uitgevoer, na gelang van die datum waarop die effek op die LuSE genoteer is. Die slotsom waartoe hierdie studie kom, is dat daar ʼn oplossing is vir sommige van die uitdagings waarvoor die kapitaalmarkte in Zambië te staan kom. Die resultate toon ook dat die LuSE-mark swak is wat betref vormdoeltreffendheid.