Abstract: The efficient capital market hypothesis is arguably one of the most controversial hypotheses in finance. It has made enormous progress among academics and finance professionals. However, most of the studies carried out concern developed stock markets. However, with the advent of certain phenomena such as globalization or financial integration, the focus is increasingly on emerging or frontier markets. Added to this is the current frequency of financial crises. All these observations are factors that make the question of efficiency resurface and reopen the debate. This research re-examines the hypothesis of low efficiency of BRVM indices. To do so, we use different approaches. The first analysis focuses on unit root and serial correlation tests. The results show that the level series are characterized by a random walk and that the BRVM returns exhibit some serial autocorrelation. The second analysis based on the Hurst exponent uses new estimation methods recently used in finance, namely the wavelet method and the multifractal trend-free analysis (MF-DFA). This study highlights the multifractal character of the WAEMU market through its various indices. The results also reveal the existence of memory in the different BRVM profitability series. Given that financial markets are often confronted with periods of crisis that lead to instability, it would be interesting to analyze their behavior during such events. Thus, we have studied the impact of the subprime crisis and the covid-19 crisis on African financial markets. This comparative analysis of African stock markets shows that the two crises had a different impact on frontier financial markets. The contagion is faster for covid-19 than for subprime. The results also reveal that African stock markets alternate between periods of efficiency and inefficiency.

Speaker: Mme Oumou Kalsoum Diallo
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