Are African Stock Markets Efficient? A Comparative Analysis Between Six African Markets, the UK, Japan and the USA in the Period of the Pandemic

Abstract The aim of this study is to test and compare the efficient market hypothesis, in its weak form, on stock markets Botswana, Egypt, Kenya, Morocco, Nigeria, South Africa, Japan, UK USA from 2 September 2019 2020. This based following research question: has global pandemic (COVID-19) reduced efficiency – form African financial compared mature UK, Japan USA? results sustain evidence that random walk hypothesis not supported by analysed period pandemic. variance ratio values are lower than unit, which implies returns self-correlated over time. A reversion average also observed, with no differences identified between emerging markets. In corroboration, Detrended Fluctuation Analysis (DFA) exponents show present signs (in)efficiency thus showing persistence yields. therefore existence long memories validating using Wright’s Rank Signs Test (2000), prove rejection hypothesis.