The article examines long memory in equity returns and volatility for South Africa using the ARFIMA-FIGARCH model in order to assess the efficiency of the market. The sample considered encompasses a period of equity market reform in order to ascertain if such reforms promoted efficiency in the...

Financial ratios have recently reached unprecedented levels and despite price falls remain at ahistoric levels. This is at odds with the theoretical present value model. Whilst, several researchers have attempted to reconcile theory and data using fractional integration and nonlinear techniques,...