Testing for Volatility and Market Efficiency of Uganda Securities Exchange

Susan Watundu, Will Kaberuka, Noah Mwelu, Tibesigwa Warren

Abstract


This study presents empirical evidence of volatility and market efficiency of Uganda Securities Exchange. Results indicate that the Uganda Securities Exchange exhibits a weak-form efficiency based on Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Augmented Dickey Fuller (ADF) and the serial correlation tests. This may be attributed to few listed companies and less liquidity hence the need to implement the over the counter facility, two tier market, more listing and promotion of collective investment schemes. Firms and individuals should be encouraged to buy or sell securities outside their face values, as a means of encouraging financial activities in the economy.


Keywords


Volatility; Efficiency; Securities Exchange; All Share Index and Stock Market.

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References


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