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Browsing Masters by Author "ABABIO, EMMANUEL NKRUMAH"

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    Long memory behaviour and predictability of stock returns. A case of Ghana stock exchange.
    (KNUST, 2016-08) ABABIO, EMMANUEL NKRUMAH
    This research work explores the long memory behaviour on Ghana stock Exchange (GSE). It further seeks to examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The estimates are based on daily closing prices of seven (7) stocks listed on the GSE. The data were changed into compounded returns by taking the first difference of the natural logarithm of the daily closing prices. The study employs unit root, variance ratio, ARFIMA and FIGARCH models to estimate the long memory parameter in order to unearth the weak-form inefficiency ascertained by other researchers. The results showed that these stocks display a predictable component in returns. In general, these findings contradict the precepts of the EMH and a variety of remedial policies are suggested. The evidence which recommends the null hypothesis of the price series as random walk processes is strongly rejected for all the stocks, at any of the intervals of k at the 1% significant level. The results of the ARFIMA-FIGARCH model suggest that stock returns in GSE are characterised by stochastic processes which have a potentially predictable component, this in turn implies a departure from the EMH suggesting that relevant market information was only partially reflected in stock price changes. This pattern of time dependence in stock returns may allow for past information to be used to improve the predictability of future returns. To improve the efficiency of the market, there must be approval of electronic trading platform, which takes into account the selection of a fundamental store framework that, can enhance the accuracy to speed the flow of information in order ensure a safe flow of information to market applicants and enhance the efficiency of the market.