Published Paper Details:

This research study tests the validity of the weak form of the efficient market hypothesis in the Malawi Stock Exchange. The period covered by this study spans January 01, 2016, to December 31, 2019. Parametric and non-parametric statistical tests including the Augmented Dickey-Fuller test, the Kolmogorov-Smirnov (K-S) test, the Shapiro�Wilk test, and the runs test are applied to the daily return series of three market indices of the MSE, viz, the MASI, the DSI, and the FSI, over the study period. The results of the tests of normality indicate that the return series of all the market indices are not normally distributed. The return series are found to be leptokurtic and negatively skewed. Furthermore, the results of the Augmented Dickey-Fuller test show that the return series of the MASI, the DSI, and the FSI are stationary. More, the runs test rejects the hypothesis that the return series are random. It is therefore concluded that the random walk hypothesis does not hold for the Malawi Stock Exchange since successive price changes are not random. Hence, the Malawi Stock Exchange is not weak-form efficient