Price Discovery and Memory Effects in Infant African Stock Markets: Evidence from Tanzania
This paper examines the price discovery mechanism at the Dar es Salaam Stock Exchange (DSE). Data were obtained from DSE spanning from December 1st 2006 to June 13th 2011, covering 1125 observations of trading days. Results show strong evidence of non-normality in the index series with high level of leptokurtic distribution in returns. Both the index levels and returns appear to be stationary. The index appears to exhibit structural shifts, mainly associated with stock listings. And there is evidence that the DSE stock index does not follow a random walk, suggesting inefficient price discovery, but not sufficient to conclude that the stock market itself is inefficient or that prices are not rational assessments of fundamental values.