Paper Title
Random Walk Behaviour Of The African Stock Markets In The Presence Of Structural Breaks /Changes
Abstract
The research work was set out to investigate the specific panel of seven African stock markets betweenthe period of 1988 to 2014 with a view to determining their Weak Form efficiencies and more importantly examining the structural breaks within this period. The existing methods on Seemingly Unrelated Regression Augmented Dickey Fuller Test, Variance Ratio Tests, and Perron Break Test were implemented in the investigation.The results suggested that the null of unit root cannot be rejected at 5% critical level of significance for all the countries. There were all evidences from the Variance Ratio Tests to accept the null that all the markets follow a random walk behavior. Results of the Structural Break Testgave supporting evidence at 1% level of significant to reject the null of unit root process for Nigeria as against regime wise level stationarity with a single structural change suspected at 2006 and the null of unit root process may also be rejected for Botswana as against the trend level stationarity in the presence of a single structural change at same year. In similar vein, the results gave evidence to support the rejection of the null of unit root as against trend stationary with two structural changes for Nigeria, Botswana,Egypt and Ghana at 1% level of significances. This research work interprets this phenomenon as aftermath of global financial crisis. However, all the markets investigated are not badly affected during the period investigated, though their trends are slightly destructed.
keywords- Weak Form Efficiency, Seemingly Unrelated Regression Augmented Dickey Fuller Test, Variance Ratio Tests, Structural Break Test.