Some evidence of persistence in South African financial time series

This article analyses some South African financial time series in order to ascertain whether long-term persistence is present. The technique used is that of Rescaled Range Analysis. The effect of short-term stochastic processes on Rescaled Range Analysis is determined, and methods to eliminate this bias are investigated. Long-term persistence is found for the share indices studied. The evidence for long-term persistence in the gold price is equivocal, and no evidence is found for long-term persistence in the interest and exchange rate series. The presence of long-term persistence in the share indices is incompatible with the weak form of the Efficient Market Hypothesis.