Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market
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...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2022
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613198741405696 |
|---|---|
| access_status_str | Open Access |
| author | Muzhoba, Gorata |
| author2 | Majoni, Akios |
| author_browse | Majoni, Akios Muzhoba, Gorata |
| author_facet | Majoni, Akios Muzhoba, Gorata |
| author_sort | Muzhoba, Gorata |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/35949 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:20.328Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/35949 Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market Muzhoba, Gorata Majoni, Akios efficient market hypothesis market efficiency long memory long-range dependence random walk volatility persistence 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. 2022-03-06T18:48:30Z 2022-03-06T18:48:30Z 2021 2022-03-06T18:48:03Z Master Thesis Masters MCom http://hdl.handle.net/11427/35949 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | efficient market hypothesis market efficiency long memory long-range dependence random walk volatility persistence Muzhoba, Gorata Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| thesis_degree_str | Master's |
| title | Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| title_full | Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| title_fullStr | Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| title_full_unstemmed | Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| title_short | Long memory in bond market returns: a test of weak-form efficiency in Botswana's bond market |
| title_sort | long memory in bond market returns a test of weak form efficiency in botswana s bond market |
| topic | efficient market hypothesis market efficiency long memory long-range dependence random walk volatility persistence |
| url | http://hdl.handle.net/11427/35949 |
| work_keys_str_mv | AT muzhobagorata longmemoryinbondmarketreturnsatestofweakformefficiencyinbotswanasbondmarket |