Testing for Volatility and Market Efficiency of Uganda Securities Exchange

Susan Watundu; Will Kaberuka; Noah Mwelu; Tibesigwa Warren

Susan Watundu Department of Management Science, Makerere University Business School, Uganda
Will Kaberuka Associate Professor at Makerere University Business School, Department of Management Science, Uganda
Noah Mwelu Lecture in Makerere University Business School, Department of Procurement and Logistics, Uganda
Tibesigwa Warren Lecturer at Makerere University Business School , Department of Business Computing, Uganda

Keywords: Volatility, Efficiency, Securities Exchange, All Share Index and Stock Market.

Abstract

This study presents empirical evidence of volatility and market efficiency of Uganda Securities Exchange. Results indicate that the Uganda Securities Exchange exhibits a weak-form efficiency based on Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Augmented Dickey Fuller (ADF) and the serial correlation tests. This may be attributed to few listed companies and less liquidity hence the need to implement the over the counter facility, two tier market, more listing and promotion of collective investment schemes. Firms and individuals should be encouraged to buy or sell securities outside their face values, as a means of encouraging financial activities in the economy.

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