Thesis (PhD (Business Management))--University of Stellenbosch, 2006. / ENGLISH ABSTRACT: This study investigates whether any exploitable pauems exist in a sample of ten
African stock markets that could lead to abnonnal gains. Southern Africa is
represented by Botswana, Namibia. Mauritius and Zimbabwe, East Africa by Kenya,
West Africa by Ghana and the BRVM, and North Africa by Egypt, Morocco and
Tunisia. Such evidence, if it exists, provides ground for refutation of the weak form of
the efficient market hypothesis (EM H) as defined by Farna (1965. 1970).
The thesis is predominantly empirical, but also provides an overview of African stock
markets, the theoretical framework on which the study is based and the impact of the
advancement in information technology on market efficiency. The results show that
the distribution of stock returns on African stock markets is not normal, and that the
deviation from normality is significantly pronounced with almost all the stocks
rejecting nonnality using the Kolmogorov-Smimov test at the I % level of
significance.
The stock price behaviour of the abovementioned stock markets is investigated by
testing the random walk hypothesis using the simple serial correlation and runs tests.
The investigation is done using returns calculated on a trade-to-trade basis and
adjusted for interval variability by weighting each trade-to-trade return by the number
of days between trades. While the first part of this analysis only includes the markets
on which dividend information could be obtained, the second part includes all the ten
markets with returns referring to capital gains. However, it is shown that dividend
information does not have a serious impact on the results. While the majority of
stocks, especially those for Mauritius and Ghana, reject the random walk hypothesis,
only Namibia, Kenya and Zimbabwe, can be said to be weak form efficient.
While thin trading is known to cause econometric and statistical problems in
empirical tests, thin trading has been taken as given in most studies. In this thesis, the
seriousness of thin trading on African stock markets and its implications for efficiency
testing is empirically investigated. A comparison of the random walk test results when
returns are calculated normally and when the trade-to-trade approach and its variant,
the adjusted trade-la-trade approach, are used is carried out. It is found that thin
trading is indeed a severe problem on African markets and that there are some
differences in the random walk results due to the different methods used to calculate
returns.
Investigating in-sample predictability using linear models appears to be the norm in
most tests of the EMH. This thesis argues that the return-generating process may not
be linear and if that is the case, the nonlinear models may outperform the linear
models in out-of-sample forecasting. The random walk is considered a true
description of stock price behaviour only if it is not outperformed by any of the
alternative models in forecasting stock prices out-of-sample. This is empirically tested
using the indices data of the African stock markets in the sample. It is found that
alternative models, in most instances, outperform the random walk model in out-of-sample
forecasting.
The random walk results are substantiated by the results on seasonal patterns and
other anomalies to the efficient market hypothesis such as the finn size and price earnings
(PIE) effects. Size and PIE ratios have been identified as significant
predictors of stock returns in other markets. In particular, it has been suggested that
small-size firm portfolios outperform large-size finn portfolios and that low PIE firm
portfolios outperform high PIE firm portfolios. The size and PIE effects found in this
thesis are mostly exactly the opposite of those hypothesised in the literature.
The existence of seasonal patterns contradicts the statement that stock prices behave
in a random manner. This phenomenon is investigated on African stock markets using
indices returns. The study benchmarks the findings with those of South Africa's
Johannesburg Stock Exchange (JSE) Securities Exchange; other emerging markets,
namely Brazil, Malaysia, Poland, Slovenia and Finland; and developed markets, such
as the United States of America (U.S.), Australia and New Zealand. Seasonal effects
are observed on some, but not all African stock markets and in most cases the patterns
observed are different from those observed on stock markets elsewhere. / AFRIKAANSE OPSOMMING: Hierdie studie delf na of daar enige ontginbare patrone in 'n proefstuk van tien Afrika
aandelemarkte bestaan, wat tot abnormale winste kan lei. Suider-Afrika word deur
Botswana, Namibie, Mauritius en Zimbabwe verteenwoordig; Oos-Afrika deur Kenia,
Wes-Afrika deur Ghana en die BRVM, en Noord-Afrika deur Egipte, Marokko en
Tunisie. Indien sodanige bewyse bestaan, sou dit as grondslag dien vir weerlegging
van die prestasie van die doeltreffende mark-hipotese (EMH) soos deur Fama (1965,
1970) gedefinieer.
Die tesis is oorwegend empiries, maar bied ook 'n oorsig oor Afrika-aandelemarkte,
die teoretiese raamwerk waarop die studie gebaseer is en die impak van die vordering
in inligtingstegnologie op markdoeltreffendheid. Dit probeer vasstel of die
verspreiding van winste op aandele met die van normaliteit konformeer. Die resultate
toon dat die verspreiding van winste op aandele op aandelemarkte in Afrika nie
normaal is nie en dat die afwyking van normaliteit aansienlik skerp is met byna al die
aandelemarkte wat normaliteit verwerp wanneer die Kolmogorov-Smirnov-toets (teen
die 1 %-vlak van beduidendheid) toegepas word.
Die gedrag van aandelepryse van bovermelde aandelemarkte is ondersoek deur die
ewekansige steekproef-hipotese te toets deur die eenvoudige reeks korrelasie en
aanvraag-toetse toe te pas. Die ondersoek is gedoen deur opbrengste te gebruik wat op
'n handel-tot-handel-grondslag bereken is en vir interval wisseling aangepas is deur
iedere handel-tot-handel-opbrengs teenoor die aantal dae tussen transaksies op te
weeg. Terwyl die eerste deel van die ontleding net die markte insluit waarop inligting
oor dividende verkry kon word, het die tweede deel al tien markte ingesluit met
opbrengste wat na kapitale winste verwys. Daar word egter bewys dat inligting oor
dividende nie 'n ernstige en waardige impak op die resultate het nie. Terwyl die
meerderheid aandele, veral die vir Mauritius en Ghana, die ewekansige steekproef
hipotese verwerp, kan daar aanvaar word dat net die in Namibie, Kenia en Zimbabwe
swak-prestasie doelmatig is.
Terwyl dit bekend is dat swak handel statistiese en ekonometriese probleme in
empiriese toetse meebring, is swak handel as 'n gegewe in die meeste studies
aangedui. In die tesis word die erns van swak handel op aandelemarkte in Afrika en
die implikasies daarvan vir doeltreffende toetsing empiries ondersoek. 'n Vergelyking
van die resultate vir (ewekansige steekproewe) word getref wanneer winste normaal
bereken word en wanneer die handel-tot-handel-benadering en sy variant, die
aangepaste handel-tot-handelsbenadering, toegepas word. Daar is bevind dat swak
handel inderdaad 'n ernstige probleem op Afrika-markte is en dat daar sommige
verskille in die ewekansige steekproef-resultate is as gevolg van die verskillende
metodes wat ingespan word om die winste te bereken.
Die gebruik van liniere modelle om ondersoek in te stel na die voorspelbaarheid van
proefstukke blyk die norm in die meeste toetse van die doeltreffende mark-hipotesis te
wees. Die tesis voer aan dat die wins-genererende proses nie noodwendig linier is nie,
en indien dit die geval is, kan die nie-liniere modelle die liniere modelle in die
proefstuk-voorspelling oortref. Die steekproef word as 'n betroubare beskrywing van
die gedrag van aandelepryse beskou, maar net indien dit nie deur enige van die
alternatiewe modelle in die voorspelling van aandelepryse in die proefstuk oortref
word nie. Dit is empiries getoets deur die toepassing van die indeks-data van die
Afrika-aandelemarkte in die proefstuk. Die ewekansige steekproef-resultate word deur die resultate van seisoenale patrone en
ander afwykings van die doeltreffende mark- hipotesis gestaaf, soos die grootte van
die onderneming en die invloede van prys inkomste. Grootte en prysinkomsteverhoudings
is as betekenisvolle voorspellers van aandele-winste op ander markte
geidentifiseer. Daar is spesifiek aangedui dat die portfolios van klein maatskappye die
van groter maatskappye oortref en dat die portfolios van lae prys inkomstemaatskappye
die van hoe prysinkomste oortref. Die grootte en invloede van
prysinkomste wat in die tesis bepaal is, is hoofsaaklik presies die teenoorgestelde van
die waaroor in die literatuur 'n hipotese oor opgestel is.
Die bestaan van seisoenale patrone weerspreek die stelling dat aandelepryse hulle op
'n lukrake wyse voordoen. Die verskynsel is op Afrika-aandelemarkte ondersoek deur
indeks-opbrengste te gebruik. Hierdie studie meet die bevindinge aan die hand van
Suid-Afrika se Effekte Wisselkoerse op die Johannesburgse Aandelebeurs, ander
opkomende markte soos Brasilie, Maleisie, Pole, Slovenie en Finland, en ontwikkelde
markte soos die van die VSA, Australie en Nieu-Seeland. Seisoenale invloede word
op sommige waargeneem, maar nie op alle aandelemarkte in Afrika nie - in die
meeste gevalle verskil die patrone wat waargeneem is van die op aandelemarkte
elders.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:sun/oai:scholar.sun.ac.za:10019.1/6445 |
| Date | 03 1900 |
| Creators | Mlambo, Chipo |
| Contributors | Biekpe, Nicholas, Smit, Eon v.d. M., University of Stellenbosch. Faculty of Economic and Management Sciences. Graduate School of Business. |
| Publisher | Stellenbosch : University of Stellenbosch |
| Source Sets | South African National ETD Portal |
| Language | en_ZA |
| Detected Language | Unknown |
| Type | Thesis |
| Rights | University of Stellenbosch |
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