An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange

This study investigates the effects of the 2008 financial crisis and stock market automation on the efficiency of the Botswana Stock Exchange (BSE). It makes use of the BSE All Share Index (ALSI) logged returns covering the time period 2005 – 2017. In addition, four distinct tests are employed to test for the change in market efficiency over time: runs test, unit root test, serial correlations test and variance ratio test. The study found resounding evidence to conclude that the 2008 financial crisis and stock market automation had a significant positive effect on the efficiency of the BSE. In addition, the BSE went from being inefficient to weak-form efficient due to the policies implemented by the government of Botswana and financial regulators as a direct reaction to the 2008 financial crisis, plus the continuous improvement of the Automated Trading System (ATS). To the author’s knowledge, this study is the first of its kind to test the impact of the 2008 financial crisis and automation of the trading system on the weak-form market efficiency of the BSE. As a result, this study provides an original and unique testimony on the effects of the 2008 financial crisis and the ATS on the efficiency of the Botswana Stock Exchange. Moreover, it offers an updated position of the BSE’s efficiency status following the recent developments to ensure that relevant legislation and effective and efficient trading systems are in place.

Grantor dc:publisher.institution

Department of Finance and Tax

Year dc:date.issued

2018

Author dc:creator

• Ambalal, Ritesh Girishkumar

Advisor dc:contributor.advisor

• Pamburai, Hamutyinei Harvey

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/29251

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/29251