Ferreira, Dionisio, and Correia (2018. Physica A: Statistical Mechanics and Its Applications. 505, 680–687) showed that African stock markets at different time frames (before the Lehman Brothers financial crisis, during the crisis, and after the crisis) do not satisfy the efficient market hypothesis. Here, we provide evidence by means of six different nonparametric tests, and the fit of GARCH(1, 1), TGARCH(1, 1) and EGARCH(1, 1) models accounting for day of the week and month of the year effects that the majority of African stock markets do comply with the efficient market hypothesis.

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关于非洲股票市场中的非线性依赖性

费雷拉（Ferreira），迪奥尼西奥（Dionisio）和科雷亚（Correia）（2018年。物理学A：统计力学及其应用。505，680–687）表明，非洲股票市场处于不同的时间范围（雷曼兄弟金融危机之前，危机期间和危机之后）不满足有效的市场假设。在这里，我们通过六种不同的非参数检验来提供证据，并且考虑了星期几和一年中月份的影响的GARCH（1，1），TGARCH（1，1）和EGARCH（1，1）模型的拟合大多数非洲股票市场确实符合有效的市场假设。