English, Article edition: Efficiency of the South African equity market David McMillan; Pako Thupayagale

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Bookmark: http://trove.nla.gov.au/version/50867
Physical Description
  • article
Language
  • English

Edition details

Title
  • Efficiency of the South African equity market
Author
  • David McMillan
  • Pako Thupayagale
Physical Description
  • article
Notes
  • The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the market. The results show that volatility exhibits a predictable component in both sample periods, while returns in both sample periods do not. This suggests that equity market reforms had a benign impact on the market.
  • RePEc:taf:apfelt:v:4:y:2008:i:5:p:327-330
Language
  • English
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