Stationarity of African Stock Markets under an ESTAR framework
Stationarity of African Stock Markets under an ESTAR framework

Summary/Abstract: The paper investigates the stationarity of eight indices on eight African stock markets. We reviewthe extant literature on the stationarity of African stock markets and build on the works of Zhang et al. (2012)and Smith and Dyakova (2014). We use the non-linear ADF unit root test and the modified Wald type testunder an ESTAR framework in our study. Our results show that both non-linear unit root tests fail to reject thenull of unit root in all the markets but for Botswana. We infer from our results that the stock markets in Egypt,Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia are non-stationary and hence weak-formefficient. Our work goes to agree with Choi and Moh (2007) who believe that, the presence of non-linear patternin a data has no effect on the performance of a unit root test if the non-linear process is far from a unit rootprocess.

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