Purpose – The purpose of this paper is to investigate and compare the weak‐form efficiency of a set of 24 African continent‐wide stock price indices and those of eight individual African national stock price indices. Design/methodology/approach – Variance‐ratio tests based on ranks and...

Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design/methodology/approach – Volatility estimates are incorporated...

Purpose – The purpose of this paper is to examine the nature and extent of linkages between African stock markets and the relationships between these markets and that of regional and global indices. Design/methodology/approach – The monthly returns of S&P/IFC return indices for ten African...

Purpose – How is liquidity formed in emerging financial markets? Do traders preannounce their orders to attract outside liquidity providers (a practice referred to as sunshine trading)? The purpose of this paper is to study liquidity formation of infrequently traded stocks. It also...

Purpose – The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996‐2007 and examine the implications for downside risk measurement. Design/methodology/approach – Extreme value theory methods are...