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
DOI: https://doi.org/10.31410/EMAN.S.P.2021.17
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
Abstract:
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.
Keywords:
Market efficiency, African capital markets, Arbitration.
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