Title: Technical trading strategies, returns predictability and relative efficiency: evidence from selected African stock markets

Authors: Kwame Osei-Assibey; Mweishö Nene

Addresses: School of Economics, University of Johannesburg, APK Campus 2006, Johannesburg, South Africa ' School of Economics, University of Johannesburg, APK Campus 2006, Johannesburg, South Africa

Abstract: We investigate the performance of several technical trading strategies in the stock markets of selected African economies and utilised the empirical evidence to rank the markets in terms of their efficiencies. The rationale for this study is simple: an asset whose historical prices fluctuate more randomly (relative to other assets) should offer lower profitable opportunities. Our momentum trading strategies (that also controlled for data snooping bias) generated significant number of profits for the Nigerian stock market, relative to the Egyptian and South African stock markets. We attributed our observation to the relationship between financial markets development and efficiency. Using our results, we ranked the South African stock market as relatively the most efficient, followed by the Egyptian and then the least efficient being the Nigerian market. We propose regular relative efficiency assessments across markets and regimes and discuss the benefits of such assessments to investors' and policymakers' decision making processes.

Keywords: efficient markets; relative efficiency; technical trading strategies; Africa.

DOI: 10.1504/GBER.2024.137616

Global Business and Economics Review, 2024 Vol.30 No.3, pp.259 - 282

Received: 07 Apr 2022
Accepted: 14 Oct 2022
Published online: 02 Apr 2024 *

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