This paper examines whether stock prices for fourteen African countries are affected by transitory or permanent shocks. This study answers whether Africa stock market indices are mean-reverting or random-walk in the presence of multiple structural breaks. To investigate African equity price behavior, we considered one and two endogenously determined structural break tests of Zivot and Andrews (1992) and Lumsdaine and Papell (1997), respectively. Findings/Originality : Our results show that almost all African equity price indices follow the random walk processes except for Senegal and Botswana, which exhibit mean-reversion properties in its equity prices. It implies that investors in African stock markets cannot rely on past information and behavior to predict stock market movements or develop their trading strategies. The result also confirms that the Augmented Dickey-Fuller (ADF) unit root test is not applicable in the presence of structural breaks in African stock markets.

中文翻译：

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存在结构性断裂的单位根检验：来自非洲股市的证据

本文考察了 14 个非洲国家的股票价格是否受到暂时性或永久性冲击的影响。本研究回答了在存在多个结构性断裂的情况下，非洲股票市场指数是均值回归还是随机游动。为了研究非洲的股票价格行为，我们分别考虑了 Zivot 和 Andrews（1992）以及 Lumsdaine 和 Papell（1997）的一个和两个内生确定的结构断裂测试。发现/原创性：我们的结果表明，除了塞内加尔和博茨瓦纳，几乎所有非洲股票价格指数都遵循随机游走过程，它们的股票价格表现出均值回归特性。这意味着非洲股市的投资者不能依靠过去的信息和行为来预测股市走势或制定交易策略。