Title: Challenging the efficient markets hypothesis: an investigation of the overconfidence bias between developed and developing African markets

Authors: Ouael El Jebari; Abdelati Hakmaoui

Addresses: LARMIG Research Laboratory, Faculty of Law Economics and Social Sciences of Aîn Sebaâ, University Hassan II of Casablanca, BP: 2634, Route des Chaux et Ciments, Beausite, Casablanca, Morocco ' LARMIG Research Laboratory, Faculty of Law Economics and Social Sciences of Aîn Sebaâ, University Hassan II of Casablanca, BP: 2634, Route des Chaux et Ciments, Beausite, Casablanca, Morocco; CIEMS, 4 Rue Nopalea, Lot No. 4, Secteur No. 17, Bloc I, Hay Riad, Rabat, Morocco

Abstract: This article tests the presence of the overconfidence bias in the financial markets of the USA, Germany, France, Turkey, South Africa and Morocco. It broadens previous studies by implementing an ARMA(p, q)-FIEGARCH(1,d,k,1) parameterisation capable of simultaneously measuring the presence of overconfidence bias and accounting for long-memory processes in the volatility series. The data used in this article consists of daily closing prices along with daily trading volumes of S&P 500, DAX, CAC 40, BIST 100, FTSE_JSE, ATW, BCP, BMCE and IAM. The results of the study confirm the existence of an overconfidence bias in the data of DAX, CAC 40, FTSE JSE, ATW, and BCP. Similarly, the results also suggest that all of the series in the sample have their volatilities governed by long-memory processes, for which the intensity differs from one index to another.

Keywords: overconfidence; anomalies; financial markets; FIEGARCH; long-memory.

DOI: 10.1504/AAJFA.2025.148665

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.5, pp.622 - 644

Received: 15 Jun 2022
Received in revised form: 26 Aug 2023
Accepted: 02 Oct 2023
Published online: 18 Sep 2025 *

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