{"title":"南非股票市场的效率","authors":"D. McMillan, P. Thupayagale","doi":"10.1080/17446540701720717","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"18 13","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"30","resultStr":"{\"title\":\"Efficiency of the South African equity market\",\"authors\":\"D. McMillan, P. Thupayagale\",\"doi\":\"10.1080/17446540701720717\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":345744,\"journal\":{\"name\":\"Applied Financial Economics Letters\",\"volume\":\"18 13\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-09-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"30\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Applied Financial Economics Letters\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/17446540701720717\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701720717","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.
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