Abstract It is widely acknowledged that having efficient financial markets is paramount in the allocation of social resources to their most productive uses. This paper explores the informational efficiency of six of the most important African stock markets for indication of seasonal predictability in stock returns. The results reveal that all markets exhibited some kind of seasonal patterns. The prevalence of the phenomenon was higher in the Egyptian and Tunisian markets, suggesting the presence of inefficient prices. Surprisingly, the only advanced emerging market of the sample (South Africa) showed a relatively large number of anomalies. This paper also reports the existence of strong pre-holiday effects and turn-of-the-month effects in most of the markets under scrutiny. Moreover, this study is the first to document the presence of quarterly effects in African markets. Collectively, the evidence obtained highlights the opportunity for arbitrageurs to reap profits as well as the need of decision-makers to implement legal and regulatory reforms in the markets of the continent.

中文翻译：

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非洲股市效率低下吗？季节性异常的新证据

摘要 众所周知，拥有有效的金融市场对于将社会资源分配到最有生产力的用途至关重要。本文探讨了六个最重要的非洲股票市场的信息效率，以指示股票收益的季节性可预测性。结果表明，所有市场都表现出某种季节性模式。这种现象在埃及和突尼斯市场的流行程度更高，表明存在低效价格。出人意料的是，样本中唯一的发达新兴市场（南非）出现了比较多的异常。本文还报告了在大多数受审查的市场中存在强烈的节前效应和月末效应。而且，这项研究首次记录了非洲市场存在的季度效应。总的来说，获得的证据强调了套利者获得利润的机会以及决策者在非洲大陆市场实施法律和监管改革的必要性。