Assessing the Level of Efficiency of The Stock Exchange of Mauritius

Abstract

This paper assesses the level of efficiency of SEM by using a sample the daily market returns for the period  1999 to 2004. The main tests conducted are Run test, Augmented Dicker Fuller test, KPSS test and  Auto-correlation test. The results for all tests provide evidence that returns on the market do not follow a  random walk. Also, stock prices appear to be serially correlated such that future predictions on the market are possible. Finally, the study concludes with some implications and recommendations for different stakeholders in view to attain a higher degree of efficiency.

Keywords: Efficiency, Stock Market, Mauritius, Autocorrelation, Random Walk, SEM Ltd