Browsing by Author "Ngoti, Irene Fredolin"

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    Test of the stock market efficiency hypothesis the case of Dar es salaam stock exchange in Tanzania
    (University of Dar es Salaam, 2014) Ngoti, Irene Fredolin
    This study tests the Efficient Market Hypothesis (EMH) of listed companies on the Dar es Salaam Stock Exchange (DSE) specifically on weak form by using weekly closing stock prices on the DSE from January, 2007 to December, 2013. Efficiency of DSE is analysed by applying Random Walk Model (RWM) to test if investors can earn abnormal returns using historical information to predict future stock prices. Several tests are employed in the study including Augmented Dickey Fuller (ADF) test for Unit root, Autocorrelation tests and Runs test. The results of ADF test support RWM for eight out ten listed companies at DSE. To capture more robust results, both Autocorrelation tests and Runs test are employed and they both provide evidence that the weekly stock returns series do not follow RWM and there exist no independency among weekly stock returns. It is concluded that DSE is inefficient in weak form level of EMH. Therefore investors together with other market participants can outperform the market averages by earning abnormal returns given the historical information available. Enhancing new listing, increasing corporate governance, law enforcement on participation of giant profit making companies at DSE and involvement of institutional investors in the market like pension funds are necessary to improve market efficiency.