Long - Memory Persistence in African Stock Markets
Long - Memory Persistence in African Stock Markets

Summary/Abstract: Emerging stock markets are said to become efficient with time. This study seeks to investigate thisassertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28August 2000 to 28 August 2015. The Hurst exponent is used as our efficiency measure which is evaluated bythe Detrended Fluctuation Analysis (DFA). Our findings show strong evidence of long - memory persistencein the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH).

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