This chapter investigates the weak-form efficiency of the Dar es Salaam Stock Exchange (DSE), a frontier market, in Tanzania. The study covers the period from Jan. 2007 to Dec. 2014. To establish the consistency and robustness of the obtained conclusions, we employ different tests (ie, augmented Dickey–Fuller test, variance ratio test, and ranks and signs test) to examine the hypothesis that the returns based on the price and return indices follow a random walk process. The results provide convincing evidence that returns series based on price indices indeed follow a random walk. However, when the same tests are performed for the returns based on the return indices, the findings reveal that these series are not weak-form efficient, suggesting that investors might be able to predict future returns based on the current and past data.
|Title of host publication||Handbook of Frontier Markets|
|Subtitle of host publication||The European and African Evidence|
|Editors||P Andrikopoulos, GN Gregoriou, V Kallinterakis|
|Publication status||Published - 2016|
Guney, Y., & Komba, G. (2016). Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange. In P. Andrikopoulos, GN. Gregoriou, & V. Kallinterakis (Eds.), Handbook of Frontier Markets: The European and African Evidence (pp. 3-26). Academic Press. https://doi.org/10.1016/B978-0-12-803776-8.00001-X