Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market

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dc.contributor.advisorMajoni, Akios
dc.contributor.authorMuzhoba, Gorata
dc.date.accessioned2022-03-06T18:48:30Z
dc.date.available2022-03-06T18:48:30Z
dc.date.issued2021
dc.date.updated2022-03-06T18:48:03Z
dc.description.abstractUsing the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market hypothesis (EMH) is used as a criterion to investigate the existence of long memory in both bond returns and volatility. The results of our study indicate that the Botswana bond market data follow, to a great extent, the long-range dependence which negates the precepts of the efficient market hypothesis. Furthermore, policy reforms intended to stimulate bond market reform and related efficiency gains appear not to have produced the desired outcomes as the existence of long memory is found across all sample periods. Further remedial policies are suggested to enhance market dynamism.
dc.identifier.apacitationMuzhoba, G. (2021). <i>Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/35949en_ZA
dc.identifier.chicagocitationMuzhoba, Gorata. <i>"Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2021. http://hdl.handle.net/11427/35949en_ZA
dc.identifier.citationMuzhoba, G. 2021. Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market. . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/35949en_ZA
dc.identifier.ris TY - Master Thesis AU - Muzhoba, Gorata AB - Using the ARFIMA-FIGARCH model, this dissertation examines the efficiency of Botswana's bond market. It focuses on the properties of the return and volatility of the Fleming Asset Bond Index (the main aggregate fixed income benchmark index in Botswana) over the period September 2009 to May 2019. The weak-form version of efficient market hypothesis (EMH) is used as a criterion to investigate the existence of long memory in both bond returns and volatility. The results of our study indicate that the Botswana bond market data follow, to a great extent, the long-range dependence which negates the precepts of the efficient market hypothesis. Furthermore, policy reforms intended to stimulate bond market reform and related efficiency gains appear not to have produced the desired outcomes as the existence of long memory is found across all sample periods. Further remedial policies are suggested to enhance market dynamism. DA - 2021 DB - OpenUCT DP - University of Cape Town KW - efficient market hypothesis KW - market efficiency KW - long memory KW - long-range dependence KW - random walk KW - volatility persistence LK - https://open.uct.ac.za PY - 2021 T1 - Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market TI - Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market UR - http://hdl.handle.net/11427/35949 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/35949
dc.identifier.vancouvercitationMuzhoba G. Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market. []. ,Faculty of Commerce ,Department of Finance and Tax, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/35949en_ZA
dc.language.rfc3066eng
dc.publisher.departmentDepartment of Finance and Tax
dc.publisher.facultyFaculty of Commerce
dc.subjectefficient market hypothesis
dc.subjectmarket efficiency
dc.subjectlong memory
dc.subjectlong-range dependence
dc.subjectrandom walk
dc.subjectvolatility persistence
dc.titleLong memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationlevelMCom
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