Chapter 1

Testing for the Weak-Form Market Efficiency of the Dar es Salaam Stock Exchange

Y. Guney*
G. Komba***    University of Hull Business School, Hull, United Kingdom**    Mzumbe University, School of Business, Morogoro, Tanzania


This chapter investigates the weak-form efficiency of the Dar es Salaam Stock Exchange (DSE), a frontier market, in Tanzania. The study covers the period from Jan. 2007 to Dec. 2014. To establish the consistency and robustness of the obtained conclusions, we employ different tests (ie, augmented Dickey–Fuller test, variance ratio test, and ranks and signs test) to examine the hypothesis that the returns based on the price and return indices follow a random walk process. The results provide convincing evidence ...

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