This article investigates the random walk behavior of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) foreign exchange rates against the US dollar using weekly data from February 2007 to April 2012. Using variance ratio tests, the results suggest that the nominal exchange...

We apply the sequential unit root tests of Phillips et al. (2015) for mildly explosive processes to identify and date-stamp bubbles in the emerging and frontier African stock markets. We find periods of explosive behavior in the price–dividend ratio in several markets which is indicative of...

I examine the return predictability of the Indonesian stock-market during 1984–2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market's efficiency and predictability vary over time — consistent with the adaptive market hypothesis...