The Adaptive Market Hypothesis and the Day‑of‑the‑Week Effect in African Stock Markets: the Markov Switching Model

Adefemi A. Obalade; Paul Francois Muzindutsi

doi:10.2478/cer-2019-0028

Autor

Adefemi A. Obalade School of Accounting, Economics & Finance, University of KwaZulu‑Natal Durban South Africa, Assistant Lecturer at Ekiti State University, Ado-Ekiti, Nigeria
Paul Francois Muzindutsi School of Accounting Economics & Finance University of KwaZulu‑Natal, Durban, South Africa

DOI:

https://doi.org/10.2478/cer-2019-0028

Słowa kluczowe:

efekt kalendarza, hipoteza rynku adaptacyjnego, afrykańskie rynki akcji, model przełącznikowy Markowa

Abstrakt

W oparciu o hipotezę rynku adaptacyjnego, w niniejszym opracowaniu zbadano, w jaki sposób efekt dnia tygodnia działa w fazie bessy i hossy na afrykańskich rynkach akcji oraz określono prawdopodobieństwo bycia w fazie bessy i hossy na każdym z tych rynków. Jako technikę analityczną przyjęto model przełącznikowy Markowa. Wyniki pokazują, że na wszystkich rynkach efekt dnia tygodnia pojawia się w jednej fazie i znika w drugiej, zgodnie z hipotezą rynku adaptacyjnego. Wreszcie, wszystkie rynki, z wyjątkiem giełdy w Johannesburgu, mają wyższą tendencję do bycia w fazie bessy niż hossy. Nasze ustalenia pokazują, że aktywne zarządzanie inwestycjami może przynosić zyski inwestorom inwestującym na większości rynków afrykańskich w fazie bessy.

Pobrania

Brak dostępnych danych do wyświetlenia.

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