Rui Dias – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal and CEFAGE-UE, IIFA,
University of Évora, Portugal
Hortense Santos – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Paulo Alexandre – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Paula Heliodoro – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
Cristina Vasco – School of Business and Administration, Polytechnic Institute of Setúbal, Portugal
5th International Scientific Conference – EMAN 2021 – Economics and Management: How to Cope With Disrupted Times, Online/Virtual, March 18, 2021, SELECTED PAPERS published by: Association of Economists and Managers of the Balkans, Belgrade, Serbia; ISBN 978-86-80194-44-8, ISSN 2683-4510
The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi
Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. This
economic conflict resulted in a sharp drop in the price of oil in 2020, as well as crashes in international
markets. In the light of these events, our aim was to test the efficient market hypothesis, in its weak form,
in the stock markets of Botswana (BSE), Egypt (EGX 100), Kenya (NSE 20), Moroccan All Shares (MASI),
Tunisia (Tunindex), and the MARKET of the USA (DOWJONES INDUSTRIALS), in the period of September
2, 2019 to January 11, 2021. The results therefore support the evidence that the random walk hypothesis
is not supported by the financial markets analyzed in this period of global pandemic. The values of
variance ratios are lower than the unit, which implies that the yields are autocorrelated in time and, there
is reversal to the mean. In order to validate the results, we estimate the model αDFA that shows that the
stock markets NSE 20 (0.75), TUNINDEX (0.69), MASI (0.63), EGX 100 (0.64), BSE (0.61), DOW JONES
(0.58) show autocorrelation in their profitability, that is, these markets show signs of (in) efficiency, in its
weak form, persistence in profitability, validating the results of the variance test by Rankings and Wright
Signs. In conclusion we can show that the U.S. stock market has more market efficiency when compared
to the African stock markets analyzed. The authors consider that the results achieved are of interest to
investors looking for opportunities for portfolio diversification in these regional stock markets.
Market efficiency, African capital markets, Arbitration.
Abakah, E. J. A., Alagidede, P., Mensah, Lord, & Ohene-Asare, K. (2018). Non-linear approach
to Random Walk Test in selected African countries. International Journal of Managerial
Alexandre, P., Dias, R., & Heliodoro, P. (2020). EUROPEAN FINANCIAL MARKET INTEGRATION:
A CLOSER LOOK AT GOVERNMENT BONDS IN EUROZONE COUNTRIES.
Balkans Journal of Emerging Trends in Social Sciences. https://doi.org/10.31410/
Alexandre, P., Heliodoro, P., & Dias, R. (2019). THE CONTAGION EFFECT IN EUROPE: A
DCC GARH APPROACH. In 5th LIMEN Conference Proceedings (part of LIMEN conference
Bachelier, L. (1900). Théorie de la spéculation. Annales Scientifiques de l’École Normale
Bashir, U., Zebende, G. F., Yu, Y., Hussain, M., Ali, A., & Abbas, G. (2019). Differential market
reactions to pre and post Brexit referendum. Physica A: Statistical Mechanics and Its Applications.
Breitung, J. (2000). The local power of some unit root tests for panel data. Advances in Econometrics.
Cardona-Arenas, C. D., & Serna-Gómez, H.M. (2020). COVID-19 and Oil Prices: Effects on
the Colombian Peso Exchange Rate. SSRN Electronic Journal. https://doi.org/10.2139/
Days,R. & Pereira, J. (2020). The Impact of the COVID-19 Pandemic on Stock Markets: Evidence
From a VAR Model, 1(2), 57–70. https://doi.org/10.4018/IJEGCC.2020070105
Days, R. & Oak, L. (2020). HEDGES AND SAFE HAVENS: AN EXAMINATION OF
STOCKS, GOLD AND SILVER IN LATIN AMERICA ‘ S STOCK MARKET, 1114–
Dias, R., Alexandre, P., & Heliodoro, P. (2020). Contagion in the LAC Financial Markets: The
Impact of Stock Crises of 2008 and 2010. Littera Scripta. https://doi.org/10.36708/littera_
Dias, R., da Silva, J. V., & Dionysus, A. (2019). Financial markets of the LAC region: Does
the crisis influence the financial integration? International Review of Financial Analysis.
Dias, R., Heliodoro, P., & Alexandre, P. (2019). RISK TRANSMISSION AMONG STOCK
MARKETS IN LAC REGION: FINANCIAL CRISES IMPACT. In 5th LIMEN Selected
Papers (part of LIMEN conference collection). https://doi.org/10.31410/limen.s.p.2019.91
Dias, R., Heliodoro, P., & Alexandre, P. (2020). Efficiency of Asean-5 Markets: An Detrended
Fluctuation Analysis Učinkovitost trgov Asean-5: analyzes nihanj z odstranitvijo trenda,
Dias, R., Heliodoro, P., Alexandre, P., Santos, H., & Farinha, A. (2021). Long memory in stock
returns: Evidence from the Eastern European markets, 01029, 1–10.
Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020a). FINANCIAL MARKET INTEGRATION
OF ASEAN-5 WITH CHINA: AN ECONOPHYSICS APPROACH. In 4th EMAN
Conference Proceedings (part of EMAN conference collection). https://doi.org/10.31410/
Dias, R., Heliodoro, P., Alexandre, P., & Vasco, C. (2020b). THE SHOCKS BETWEEN OIL
MARKET TO THE BRIC STOCK MARKETS: A GENERALIZED VAR APPROACH.
In 4th EMAN Conference Proceedings (part of EMAN conference collection). https://doi.
Dias, R., Heliodoro, P., Teixeira, N., & Godinho, T. (2020). Testing the Weak Form of Efficient
Market Hypothesis: Empirical Evidence from Equity Markets, 5(July 2019), 40–51. https://
Dias, R., Pardal, P., Teixeira, N., & Machová, V. (2020). Financial Market Integration of ASEAN-
5 with China. Littera Scripta. https://doi.org/10.36708/littera_scripta2020/1/4
Dias, R., Teixeira, N., Machova, V., Sparrow, P., Horak, J., … Vochozka, M. (2020). Random
walks and market efficiency tests: evidence on US, Chinese and European capital markets
within the context of the global Covid-19 pandemic, 11(4). https://doi.org/10.24136/
Fame, E. F. (1965a). Random Walks in Stock Market Prices. Financial Analysts Journal.
Fame, E. F. (1965b). The Behavior of Stock-Market Prices. The Journal of Business. https://doi.
Fame, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The
Journal of Finance. HTTPS://DOI.ORG/10.2307/2325486
Ferreira, P., & Dionysus, A. (2016). How long is the memory of the US stock market? Physica
A: Statistical Mechanics and Its Applications, 451, 502–506. https://doi.org/10.1016/j.physa.
Gibson, G. R. (1889). The Stock Markets of London, Paris and New York. New York: G.P. Putnam’s
Guedes, E. F., Brito, A. A., Oliveira Filho, F.M., Fernandez, B. F., de Castro, A. P. N., da Silva
Filho, A.M., & Zebende, G. F. (2018). Statistical test for ΔρDCCA: Methods and data.
Data in Brief. https://doi.org/10.1016/j.dib.2018.03.080
Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. The Econometrics Journal.
Hawaldar, I. T., Rohith, B., & Pinto, P. (2020). Testing of Weak Form of Efficient Market Hypothesis:
Evidence from the Bahrain Bourse. SSRN Electronic Journal. https://doi.org/10.2139/
Heliodoro, P., Dias, R., & Alexandre, P. (2020). FINANCIAL CONTAGION BETWEEN THE
US AND EMERGING MARKETS: COVID-19 PANDEMIC CASE. In 4th EMAN Selected
Papers (part of EMAN conference collection). https://doi.org/10.31410/eman.s.p.2020.1
Heliodoro, P., Dias, R., Alexandre, P., & Vasco, C. (2020). INTEGRATION IN BRIC STOCK
MARKETS: AN EMPIRICAL ANALYSIS. In 4th EMAN Selected Papers (part of EMAN
conference collection). https://doi.org/10.31410/eman.s.p.2020.33
Kelikume, I. (2016). New evidence from the efficient market hypothesis for the Nigerian stock
index using the wavelet unit root test approach. The Journal of Developing Areas. https://
Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: Asymptotic and
finite-sample properties. Journal of Econometrics. https://doi.org/10.1016/S0304-
Liu, L., Wang, E.-Z., & Lee, C.-C. Impact of the COVID-19 pandemic on the crude oil and stock
markets in the US: A time-varying analysis. Energy RESEARCH LETTERS. https://doi.
Mr. Osagie Adenomon. Double-Edged Sword of Global Financial Crisis and COVID-19
Pandemic on Crude Oil Stock Returns. ResearchGate. https://doi.org/10.20944/preprints202005.0501.
Mzoughi, H., Urom, C., Uddin, G. S., & GUESMI, K. (2020). The Effects of COVID-19 Pandemic
on Oil Prices, CO2 Emissions and the Stock Market: Evidence from a VAR Model.
SSRN Electronic Journal. HTTPS://DOI.ORG/10.2139/SSRN.3587906
Obayagbona, J., & Igbinosa, S. O. (2015). Test of Random Walk Hypothesis in the Nigerian
Stock Market. Current Research Journal of Social Sciences. https://doi.org/10.19026/crjss.
Sparrow, P., Dias, R., Šuleř, P., Teixeira, N., & Krulický, T. (2020). Integration in Central European
capital markets in the context of the global COVID-19 pandemic, 15(4). https://doi.
Sakurai, Y., & Kurosaki, T. (2020). How has the relationship between oil and the US stock market
changed after the Covid-19 crisis? Finance Research Letters. https://doi.org/10.1016/j.
Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting oil-stock nexus during COVID-19
pandemic: Some preliminary results. International Review of Economics and Finance.
Santos, H. & Dias, R. (2020). The Interactions of Stock Prices and Exchange Rates in the ASEAN-
5 Countries: The DCCA approach.
Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market,
geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from
the wavelet-based approach. International Review of Financial Analysis. https://doi.
Tsay, R. S. (2005). Analysis of Financial Time Series. Technometrics (Vol. 48). https://doi.
Villarreal-Samaniego, D. (2020). COVID-19, Oil Prices, and Exchange Rates: A Five-Currency
Examination. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3593753
Wright, J. H. (2000). Alternative variance-ratio tests using ranks and signs. Journal of Business
and Economic Statistics. https://doi.org/10.1080/07350015.2000.10524842