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 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.

Grantor

Department of Finance and Tax

Year dc:date.issued

2021

Author dc:creator

• Muzhoba, Gorata

Advisor dc:contributor.advisor

• Majoni, Akios

• efficient market hypothesis
• market efficiency
• long memory
• long-range dependence
• random walk
• volatility persistence

Handle dc:identifier.uri

http://hdl.handle.net/11427/35949

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/35949