The vast majority of efficient market research to date has focused on the major markets of the United States of America and European countries and very small attention has been given to the emerging markets of Latin America, Asia, the Middle East and Africa. This study seeks evidence supporting the existence of market efficiency on the Johannesburg stock exchange (JSE).The sample includes the daily price indices of all securities listed on the JSE for the period since January 2000 to December 2004.The hypothesis of the study is whether the Johannesburg stock exchange is informationally efficient (Weak form and Semi-strong forms).The results from the unit root test, the ADF test and the causality test at the Granger sense provide evidence that the Johannesburg stock exchange (JSE) is informationally efficient so that nobody cannot use the exchange rate to forecast or predict stock prices in the Johannesburg stock exchange. These issues are important to security analysts, investors, and security regulatory exchange bodies in their policy making decision to improve the market conditions. This study deserves continuous research on this area to reach the ultimate conclusion about the level of efficiency of emerging markets.
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