Does PPP hold in African countries? Further evidence based on a highly dynamic non-linear (logistic) unit root test

2006 ◽  
Vol 38 (20) ◽  
pp. 2453-2459 ◽  
Author(s):  
Tsangyao Chang ◽  
Hsu-Ling Chang ◽  
Hsiao-Ping Chu ◽  
Chi-Wei Su
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Evidence Based ◽  
African Countries ◽  
Non Linear

Non-linear approach to Random Walk Test in selected African countries

2018 ◽  
Vol 14 (3) ◽  
pp. 362-376 ◽  
Author(s):  
Emmanuel Joel Aikins Abakah ◽  
Paul Alagidede ◽  
Lord Mensah ◽  
Kwaku Ohene-Asare
Keyword(s):  
South Africa ◽  
Random Walk ◽  
Stock Market ◽  
Market Efficiency ◽  
Unit Root ◽  
Unit Root Test ◽  
Weak Form ◽  
African Countries ◽  
Content Type ◽  
Non Linear

Purpose The purpose of this paper is to re-examine the weak form efficiency of five African stock markets (South Africa, Nigeria, Egypt, Ghana and Mauritius) using various tests to assess the impact of non-linearity effect and thin trading which are prevalent in African markets on market efficiency. Design/methodology/approach The weekly returns of S&P/IFC return indices for five African countries over the period 2000-2013 were obtained from DataStream and analyzed. The study adopted the newly developed Non-Linear Fourier unit root test advanced by Enders and Lee (2004, 2009) which allows for an unknown number of structural breaks with unknown functional forms and non-linearity in data generating process of stock prices series to test the Random Walk Hypothesis (RWH) for the five markets, and an augment regression model. Findings In light of the empirical evidence the author(s) using Non-linear Fourier Unit Root Test only fail to reject the RWH for South Africa, Nigeria and Egypt leading to the conclusion that these markets follow the RWH and weak-form efficient whilst Ghana and Mauritius are weak-form inefficient. Besides, evaluating non-linear models without adjusting for thin trading effect shows that, South Africa and Ghana markets are weak-form efficient while Nigeria, Egypt and Mauritius are not. However, after accounting for thin trading effect, the author(s) find that South Africa and Egypt markets follow the RWH. The findings imply that market efficiency results depend on the methodology used. Originality/value This paper provides further evidence on stock market efficiency in emerging markets. The finding suggests that thin trading and non-linearity effect influences markets efficiency tests in African stock markets. Thus, recent structural adjustment and liberalization policies have not enhanced stock market operations in Africa. This paper therefore has implications for policy makers and international investors.

Analyzing slowdown and meltdowns in the African countries: New evidence using Fourier quantile unit root test

2020 ◽  
Vol 65 ◽  
pp. 187-198
Author(s):  
Yi-Lung Lee ◽  
Omid Ranjbar ◽  
Fateme Jahangard ◽  
Tsangyao Chang
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
African Countries ◽  
New Evidence

scholarly journals ENERGY ACCESS AND HOUSEHOLD INCOME IN SUBSAHARAN AFRICAN COUNTRIES

2019 ◽  
Vol 17 (30) ◽  
Author(s):  
Musibau Ojo Adejumo ◽  
Ajide Bello Kazeem
Keyword(s):  
Unit Root ◽  
Household Income ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Energy Access ◽  
African Countries ◽  
Causality Test ◽  
Explanatory Variables ◽  
Long Run ◽  
Panel Granger Causality

This study empirically examined the energy access andhousehold income in Sub-Saharan African countries between1990 and 2015. The study employed five variables:energy access, per capita income, energy price, FDI andtrade openness, as well as panel unit root test using twocriteria to test stationarity. Panel cointegration test wasalso conducted to test long-run cointegration between thevariables employed. Panel granger causality test was employedto check the degree of causality between the dependentand explanatory variables and Auto RegressiveDistributive Lag method of estimation was employed tocheck the long-run and short-run relationships between thevariables. The results of the panel unit root test from theLLC and IPS methods show that the order of integrationsis mixed with some of the variables being stationary atlevels (household income, Foreign Direct Investment andTrade Openness) and first difference (Energy Access andFuel Price) at the same time. The result of Pedroni cointegrationtest indicated the bivariate long-run cointegrationequation between the variables employed except forEA and GDPPC. The panel granger causality test revealedthat there is causality between these three variables (EA,GDPPC and FUELP) and the direction of causality onlyflows from these variables to energy access. The ARDLresult revealed that all explanatory variables accountedfor 60% variation of energy access in SSA. However,the study made the following policy implications: energypolicy needs to be orientated in favor of expanding thesupply of energy to reach an enhanced degree of sustainableeconomic growth and development, and governmentsin this region can subsidize energy products to increaseits consumption and promote the welfare of their citizens.

Non-linear quantile unit root test and PPP: more evidence from Africa

2017 ◽  
Vol 25 (7) ◽  
pp. 465-471 ◽  
Author(s):  
Mohsen Bahmani-Oskooee ◽  
Tsangyao Chang ◽  
Zahra (Mila) Elmi ◽  
Abera Gelan ◽  
Omid Ranjbar
Keyword(s):  
Unit Root ◽  
Unit Root Test ◽  
Non Linear

scholarly journals Coal consumption and economic growth nexus: Evidence from bootstrap panel Granger causality test

2017 ◽  
Vol 64 (3) ◽  
pp. 255-271 ◽  
Author(s):  
Emmanuel Anoruo
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
African Countries ◽  
Coal Consumption ◽  
Causality Test ◽  
Growth Series ◽  
Panel Granger Causality

This paper explores the causal relationship between coal consumption and economic growth for a panel of 15 African countries using bootstrap panel Granger causality test. Specifically, this paper uses the Phillips-Perron unit root test to ascertain the order of integration for the coal consumption and economic growth series. A bootstrap panel Granger causality test is employed to determine the direction of causality between coal consumption and economic growth. The results provide evidence of unidirectional causality from economic growth to coal consumption. This finding implies that coal conservation measures may be implemented with little or no adverse impact on economic growth for the sample countries as a group.

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