STOCK MARKET EFFICIENCY, NON-LINEARITY AND THIN TRADING EFFECTS IN SOME SELECTED COMPANIES IN GHANA

Abstract

This paper investigates market efficiency, non-linearity and thin trading effects in the returns of two companies listed on the Ghana Stock Exchange, namely Ghana Commercial Bank (GCB) and Transol. The Jarque-Bera and Runs tests showed that the returns of both companies deviate from normality and randomness, respectively. The returns are also non-linearly dependent using Ljung-Box and BDS tests. ARCH effects were found in the return series’ of both companies. An ARMA-GARCH model was adopted for the linearity modeling of the stock returns of GCB. The sum of the parameter estimate,