Abstract – Issues related to stock market efficiency have been part of researchers’ playground particularly in Africa and the world in general. This study had an objective of ascertaining whether or not the Zimbabwe Stock Exchange (ZSE) follows a random walk. Using monthly data for the ZSE from February 2009 to September 2017, the study employed normality and unit root tests to answer the major research question of whether the ZSE follows a random walk. The Jarque-Bera and the Augmented Dickey Fuller Test, normality test and unit root test respectively, both revealed evidence of micro-inefficiency of the ZSE. The study recommended the establishment of strong institutions aimed at improving information flow and availability to all interested economic agents.
Keywords: ADF, bourse, jarque-bera, micro-efficiency, random walk, stock market, unit root
[Cite as: Siavhundu, T., and Nyabunze, A. (2020). An Econometric Test of the Zimbabwe Stock Exchange’s Micro-Efficiency (2009-2017). Diverse Journal of Multidisciplinary Research, Vol. 2, Issue 2, Pages 7-17.]
