Thin trading on African stock markets: Implications for market efficiency testing

Abstract

Extracted from text ... Thin trading on African stock markets: Implications for market efficiency testing Investment Analysts Journal - No. 61 2005 29 Thin trading on African stock markets: Implications for market efficiency testing 1. INTRODUCTION* The problems that thin trading pose in financial markets research have been widely acknowledged (e.g., Dimson, 1979; Cohen, Hawawini, Maier, Schwartz and Whitcomb , 1983; Atchison, Butler and Simonds, 1987; Lo and MacKinlay, 1990a and b; Bowie, 1994; Miller, Muthuswamy and Whaley, 1994). Lo and MacKinlay (1990b, 181) argue that econometric problems are bound to arise when one ignores the fact that the statistical behaviour of sampled ..