Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa's sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.

Bachelor Thesis from the year 2009 in the subject Economics - Case Scenarios, grade: 1,3, University of Mannheim (Lehrstuhl für Volkswirtschaftslehre, insbes. Ökonometrie), course: Bachelorarbeit, language: English, abstract: In recent years foreign aid was often conditioned on good institutions. Due to this course the development of financial institutions has been considered vital for the development process. This thesis points in its theoretical part to the positive effects of efficient stock markets on economic growth and examines empirically the efficiency of Africa’s sub-Saharan stock markets. Results are then compared with the same tests on four emerging markets in Asia and as a benchmark on S&P 500 and DAX. It discusses further the relationship between market efficiency and financial crisis and comes to the conclusion that a crisis worsens the respective efficiency level. Nevertheless, all African markets are at least able to pass the critical lowest hurdle of market efficiency. However, conclusions from the research propose, that the Asian markets perform better than the African markets, although the study comes to some inconclusive results. Limits to the efficient market hypothesis itself and its empirical analysis are shown throughout the paper. The study suggests that former reforms need to be intensified in order to avoid a further increase in overall income inequalities.

Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.

In this paper, we employ various tests to investigate the weak form of the efficient market hypothesis for four African stock markets - Ghana, Mauritius, Egypt and South Africa. The results of both parametric and non-parametric tests show that the South African stock market is weak form efficient, whereas that of Ghana, Mauritius and Egypt are weak form inefficient. This implies that successive security returns on the South African market are independent and follow a random walk. The same cannot be said of the other three markets. Consequently, we also fitted an ARIMA model to the excess return data for Ghana, Mauritius and Egypt using the Box-Jenkins method. The ARIMA models are then used to generate one-period ahead forecasts for the subsequent 12 periods for these three countries. The ARIMA forecasts in all three countries outperformed the naïve model, corroborating our initial inefficiency results from the earlier tests.

This chapter reviews empirical studies on weak form of efficiency with the aim of establishing whether the African market is inefficient or adaptive. The reviewed studies are categorised based on their methodological approaches to compare the power of linear and non-linear models in testing for weak-form efficiency. The studies on calendar anomalies, an indication of weak-form inefficiency, are reviewed to assess whether these anomalies are adaptive as portrayed by the relatively recent theory of adaptive market hypothesis (AMH). The scope of reviewed studies is also extended to developed and emerging markets to gain a broad comparison of the findings. This review revealed that non-linear dependence has been revealed in stock returns suggesting that non-linear models are best fit to test for the stock market efficiency. Reviewed studies produced contradictory findings with some supporting and others rejecting weak-form efficiency. Thus, most studies support the AMH, which suggests that market efficiencies and anomalies are time changing. This chapter concludes that most of the existing studies on AMH have been carried out in markets other than Africa, and hence, further empirical studies on the evolving and changing nature of efficiency in African stock markets are recommended.

The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.